The market for smartphones, smartwatches, and wearable devices is booming. In recent years, individuals and researchers have used these devices as additional tools to monitor and track sleep, physical activity, and behavior. Their use in sleep research and clinical applications could address the difficulties in scaling up studies that rely on polysomnography, the gold-standard. However, the use of commercial devices for large-scale sleep studies is not without challenges. With this in mind, this paper presents an extensive review of sleep monitoring systems and the techniques used in their development. We also discuss their performance in terms of reliability and validity, and consider the needs and expectations of users, whether they are experts, patients, or the general public. Through this review, we highlight a number of challenges with current studies: a lack of standard evaluation methods for consumer-grade devices (e.g., reliability and validity assessment); limitations in the populations studied; consumer expectations of monitoring devices; constraints on the resources of consumer-grade devices (e.g., power consumption).