In recent years, the integration of distributed generation in power systems has been accompanied by new facility operations strategies. Thus, it has become increasingly important to enhance management capabilities regarding the aggregation of distributed electricity production and demand through different types of virtual power plants (VPPs). It is also important to exploit their ability to participate in electricity markets to maximize operating profits. This review article focuses on the classification and in-depth analysis of recent studies that propose VPP models including interactions with different types of energy markets. This classification is formulated according to the most important aspects to be considered for these VPPs. These include the formulation of the model, techniques for solving mathematical problems, participation in different types of markets, and the applicability of the proposed models to real case studies. From the analysis of the studies, it is concluded that the most recent models tend to be more complete and realistic in addition to featuring greater diversity in the types of electricity markets in which VPPs participate. The aim of this review is to identify the most profitable VPP scheme to be applied in each regulatory environment. It also highlights the challenges remaining in this field of study. •The application of VPP models to different electricity markets is analyzed.•The advantages and limitations of the optimization methods for VPP models are studied.•A discussion on VPP models in recent years is presented.•Combining multiple electricity purchasing and sales strategies is a future challenge.