The measurement of thermopower in molecular junctions offers complementary information to conductance measurements and is becoming essential for the understanding of transport processes at the nanoscale. In this review, we discuss the recent advances in the study of the thermoelectric properties of molecular junctions. After presenting the theoretical background for thermoelectricity at the nanoscale, we review the experimental techniques for measuring the thermopower in these systems and discuss the main results. Finally, we consider the challenges in the application of molecular junctions in viable thermoelectric devices.