Waste frying oils (WFO) are a promising source in terms of feedstock for biodiesel production, and have a lower cost than the typical refined vegetable oils. In addition, the use of WFO is an environmentally correct way to use this residue; it also decreases the food versus fuel competition. However, the application of WFO has some limitations, including their high free fatty acid and water content, which influences the final ester yield in the base catalyzed reactions. This review article introduces a state-of-the-art use of WFO as feedstock for biodiesel production. Here, catalytic and non-catalytic methods are reported and discussed, and the advantages and disadvantages of using WFO are presented. Furthermore, techniques for the purification of biodiesel are discussed along with patents and potential future work available in terms of production and purification.