Nucleic acid aptamers are a class of single-stranded DNA or RNA molecules with specific molecular recognition capability, obtained by a process called systematic evolution of ligands by exponential enrichment (SELEX). They have the advantages of high thermal stability, ease of chemical synthesis and modification, and low immunogenicity compared to antibodies, and have attracted widespread interest in many fields such as bioanalysis, biomedicine, and biotechnology. High-quality aptamers are the basis of applications, however, the number of them that meet requirements of practical applications is very limited. How to obtain aptamers with high affinity, high specificity, and high in vivo stability is the technical bottleneck in the field of aptamers. Firstly, this review briefly introduces the basic theory of SELEX and its critical experimental steps including design of nucleic acid library, monitoring selection process, preparation of secondary library, sequencing and screening of candidate aptamers. The six main research directions of SELEX during the past thirty years are then concluded. They are respectively (1) how to improve the specificity of aptamers, (2) how to improve the stability of aptamers against nuclease degradation, (3) rapid SELEX, (4) how to isolate aptamers for complex targets, (5) how to isolate small molecule-binding aptamers, and (6) how to isolate high affinity aptamers. The development of rapid SELEX technologies has attracted tremendous attention and almost all physical separation methods have been applied to improve the SELEX efficiency. Very recently, several methods involving the highly efficient chemical reactions have been reported, providing novel strategies for the rapid isolation of aptamers. The key research progresses of SELEX technologies suitable for the isolation of small molecule-binding aptamers are subsequently reviewed and the challenges of each method are critically commented. There are three types of SELEX methods including the target-immobilized SELEX, library-immobilized SELEX (Capture-SELEX), and homogeneous SELEX (GO-SELEX). Even though the target-immobilized SELEX suffers from many issues such as steric hindrance, it is still a popularly used method due to its simplicity. In recent years, Capture-SELEX has been widely applied. The experimental conditions of Capture-SELEX (concentration of positive-SELEX target, choice of negative-SELEX targets and their concentrations) and the affinity (K_D, dissociation constant) and the specificity of the isolated aptamers for the 36 targets are listed in a table. Based on the information from the table, the effect of the experimental conditions on the affinity and the specificity is discussed. The statistical data indicates that the lower concentration of the positive-SELEX targets favors the isolation of the higher affinity aptamers, while it is not a necessary condition. Negative-SELEX is currently the dominant strategy to improve the specificity of aptamers. However, the specificity of many aptamers cannot meet the requirement for practical applications. The choice of negative-SELEX targets and their concentrations in each case are quite different. In 20 out of the 36 targets, no negative-SELEX was performed for the aptamer isolation. How to obtain the aptamers with high specificity is the most difficult challenge for small molecule targets. It is in urgent need to establish novel strategies beyond negative-SELEX to improve the specificity of aptamers. The experimental conditions of GO-SELEX and the K_D and the specificity of the isolated aptamers for the 13 small molecule targets are also list for comparison. The comparison data shows the less numbers of the enrichment cycles required for GO-SELEX than Capture-SELEX, while the obtained aptamers all commonly have K_D in the nanomolar range. The lower enrichment efficiency of Capture-SELEX should be due to the self-dissociation of the immobilized library. The affinity evaluation is the important part of the characterization of aptamer structure and performance. More than ten affinity assays are frequently used for aptamer characterization, which are roughly divided into three categories: separation-based, immobilization-based, and homogeneous methods. All techniques could generate false-positive and false-negative results. Taking gold nanoparticle-based colorimetric assay and isothermal thermal titration as examples, we review the technical progresses and comment on the fundamental reasons resulting in the inconsistent results when the different affinity assays are conducted. The final part of this review provides an outlook on the future trends of aptamer isolation technologies, affinity characterization techniques, and the technical standardization.