Phase change materials (PCMs) use latent heat of phase change to store heat, which has the advantages of high energy storage density and low-temperature fluctuation. And it can be applied to many fields such as the building envelope and the Heating Ventilation and Air Conditioning (HVAC) system. The PCM is a kind of energy storage material with great potential, which positively impacts energy conservation and indoor environment improvement. In this paper, the relevant research on PCMs in recent years is reviewed, three common classification methods of PCMs are summarized, and the phase change temperature range is re-divided. The temperature of PCMs is less than 80°C for low-temperature PCMs, between 80°C and 200°C for medium-temperature PCMs, and above 200°C for high-temperature PCMs. Then, the characteristics and thermal properties of some commonly used PCMs are listed, including organic PCMs, inorganic PCMs, and some composite phase change materials (CPCMs). By summarizing the thermal properties of PCMs, it can provide a reference for the selection of PCMs. Finally, the article also introduces several kinds of preparation methods for CPCMs. The solutions to the problems of low thermal conductivity, supercooling, phase separation, and leakage of PCMs are discussed. And the future research topics of PCMs are prospected.