Building a 3D picture of the Universe at any distance is one of the major challenges in astronomy, from the nearby Solar System to distant Quasars and galaxies. This goal has forced astronomers to develop techniques to estimate or to measure the distance of point sources on the sky. While most distance estimates used since the beginning of the 20th century are based on our understanding of the physics of objects of the Universe: stars, galaxies, QSOs, the direct measures of distances are based on the geometric methods as developed in ancient Greece: the parallax, which has been applied to stars for the first time in the mid-19th century. In this review, different techniques of geometrical astrometry applied to various stellar and cosmological (Megamaser) objects are presented. They consist in parallax measurements from ground based equipment or from space missions, but also in the study of binary stars or, as we shall see, of binary systems in distant extragalactic sources using radio telescopes. The Gaia mission will be presented in the context of stellar physics and galactic structure, because this key space mission in astronomy will bring a breakthrough in our understanding of stars, galaxies and the Universe in their nature and evolution with time. Measuring the distance to a star is the starting point for an unbiased description of its physics and the estimate of its fundamental parameters like its age. Applying these studies to candles such as the Cepheids will impact our large distance studies and calibration of other candles. The text is constructed as follows: introducing the parallax concept and measurement, we shall present briefly the Gaia satellite which will be the future base catalogue of stellar astronomy in the near future. Cepheids will be discussed just after to demonstrate the state of the art in distance measurements in the Universe with these variable stars, with the objective of 1% of error in distances that could be applied to our closest galaxy the LMC, and better constrain the distances of large sub-structures around the Milky Way. Then exciting objects like X-Ray binaries will be presented in two parts corresponding to “low” or “high” mass stars with compact objects observed with X-ray satellites. We shall demonstrate the capability of these objects to have their distances measured with high accuracy with not only helps in the study of these objects but could also help to measure the distance of the structure they belong. For cosmological objects and large distances of megaparsecs, we shall present what has been developed for more than 20 years in the geometric distance measurements of MegaMasers, the ultimate goal being the estimation of the $H_{0}$ parameter.