Countries with an established dairy tradition consume milk, milk powder, yoghurt and butter directly or as an ingredient; however, in countries without this tradition the lack of familiarity and unknown expectations can be challenging to overcome. Therefore, having a better understanding of the volatile properties that influence their sensory appeal can aid overcoming these challenges. This review focusses on traditional and novel sensory methods used to research milk, milk powders, yoghurt and butter as well as the extraction techniques used in gas chromatography mass spectrometry and gas chromatography olfactometry to identify volatiles in these products that influence sensory perception.