The rich flavor of virgin olive oil (VOO) is one of the reasons why it stands out as a gourmet product. The classification of olive oils into quality categories basically relies on the sensory assessment, together with some chemical indices that do not provide information about aroma or taste. Some analytical techniques attempt to analyze the volatile compounds of olive oil, which are actually responsible for the aroma, and give objective chemical information that can explain the sensory perception. They are based on gas chromatography (GC) and gas sensor, such as metal oxide semiconductor (MOS) sensors. In both cases, the chemical data should be interpreted from a sensory perspective, considering the impact of each compound on aroma and trying to get as much information as possible with new data processing. In the case of MOS sensors, the coupling of a GC column allows gaining more information on aroma. Despite the extensive knowledge on the volatile compounds of olive oil, these techniques still fail in reproducing some results of the panellists. The physiological processes implied in the olfaction needs to be explored with new approaches to understand the sensory perception. These new approaches will support the alternatives to sensory assessment.