Free radicals and other reactive species can cause oxidative damage to biomolecules when oxidant species exceed the antioxidant defences in the body, resulting in oxidative stress. Oxidatively damaged products have been associated with aging as well as with the development of pathologies like cancer, cardiovascular disease, neurodegenerative disorders, diabetes, inflammation, etc. Reliable measurements of biomarkers of oxidative damage to macromolecules would afford information on the pre-disposition and prognosis of certain pathologies, being of utmost importance in evaluation of the effect of intervention with antioxidants on the incidence of diseases associated to oxidative stress. This review will present and compare different analytical methods, especially those involving chromatographic and electrophoretic techniques, commonly used for the analysis of biomarkers of oxidative damage to the three main macromolecules, namely oxidised DNA, lipid peroxidation products, and protein carbonyls.