Cold therapy is commonly used as a method to relieve pain and inflammation. This review focuses primarily on two methods of cold therapy that have received recent attention: whole-body cryotherapy and partial-body cryotherapy. These methods are used to induce physiological and psychological benefits in humans in the context of medicine, health and sports. The subjects experiencing cryotherapy are dressed in minimal clothing and are exposed to very cold air (at −110 °C or less) for 1–4 min. Despite the increasing scientific interest in these methods, there is a lack of information about the technologies used. Moreover, there is no existing reference concerning exposure protocols and the relationship between temperature, duration, number of repetitions and the treatments’ desired effects. The aim of this review is to compare whole- and partial-body cryotherapy effects (especially on skin temperature) and to classify the protocols for exposure according to the desired effects. This review emphasises 1) the lack of information concerning the actual temperatures inside the cabin or chamber during exposure and 2) the heterogeneity among the exposure protocols that have been reported in the scientific literature.