Machine learning with artificial neural networks has recently transformed many scientific fields by introducing new data analysis and information processing techniques. Despite these advancements, efficient implementation of machine learning on conventional computers remains challenging due to speed and power constraints. Optical computing schemes have quickly emerged as the leading candidate for replacing their electronic counterparts as the backbone for artificial neural networks. Some early integrated photonic neural network (IPNN) techniques have already been fast-tracked to industrial technologies. This review article focuses on the next generation of optical neural networks (ONNs), which can perform machine learning algorithms directly in free space. We have aptly named this class of neural network model the free space optical neural network (FSONN). We systematically compare FSONNs, IPNNs, and the traditional machine learning models with regard to their fundamental principles, forward propagation model, and training process. We survey several broad classes of FSONNs and categorize them based on the technology used in their hidden layers. These technologies include 3D printed layers, dielectric and plasmonic metasurface layers, and spatial light modulators. Finally, we summarize the current state of FSONN research and provide a roadmap for its future development.