Various methods have been developed independently to study the multifractality of measures in many different contexts. Although they all convey the same intuitive idea of giving a "dimension" to sets where a quantity scales similarly within a space, they are not necessarily equivalent on a more rigorous level. This review article aims at unifying the multifractal methodology by presenting the multifractal theoretical framework and principal practical methods, namely the moment method, the histogram method, multifractal detrended fluctuation analysis (MDFA) and modulus maxima wavelet transform (MMWT), with a comparative and interpretative eye.