Interactive volume rendering in its standard formulation has become an increasingly important tool in many application domains. In recent years several advanced volumetric illumination techniques to be used in interactive scenarios have been proposed. These techniques claim to have perceptual benefits as well as being capable of producing more realistic volume rendered images. Naturally, they cover a wide spectrum of illumination effects, including varying shading and scattering effects. In this survey, we review and classify the existing techniques for advanced volumetric illumination. The classification will be conducted based on their technical realization, their performance behaviour as well as their perceptual capabilities. Based on the limitations revealed in this review, we will define future challenges in the area of interactive advanced volumetric illumination.