Aptamers are short single-stranded nucleic acid sequences capable of binding to target molecules in a way similar to antibodies. Due to various advantages such as prolonged shelf life, low batch to batch variation, low/no immunogenicity, freedom to incorporate chemical modification for enhanced stability and targeting capacity, aptamers quickly found their potential in diverse applications ranging from therapy, drug delivery, diagnosis, and functional genomics to bio-sensing. Aptamers are generated by a process called SELEX. However, the current overall success rate of SELEX is far from being satisfactory, and still presents a major obstacle for aptamer-based research and application. The need for an efficient selection strategy consisting of defined procedures to deal with a wide variety of targets is significantly important. In this work, by analyzing key aspects of SELEX including initial library design, target preparation, PCR optimization, and single strand DNA separation, we provide a comprehensive analysis of individual steps to facilitate researchers intending to develop personalized protocols to address many of the obstacles in SELEX. In addition, this review provides suggestions and opinions for future aptamer development procedures to address the concerns on key SELEX steps, and post-SELEX modifications.