Film cooling is widely used to protect modern gas turbine blades and vanes from the ever increasing inlet temperatures. Film cooling involves a very complex turbulent flow-field, the characterization of which is necessary for reliable and economical design. Several experimental studies have focused on gas turbine blade, vane and end-wall film cooling over the past few decades. Measurements of heat transfer coefficients, film cooling effectiveness values and heat flux ratios using several different experimental methods have been reported. The emphasis of this current review is on the Pressure Sensitive Paint (PSP) mass transfer analogy to determine the film cooling effectiveness. The theoretical basis of the method is presented in detail. Important results in the open literature obtained using the PSP method are presented, discussing parametric effects of blowing ratio, momentum ratio, density ratio, hole shape, surface geometry, free-stream turbulence on flat plates, turbine blades, vanes and end-walls. The PSP method provides very high resolution contours of film cooling effectiveness, without being subject to the conduction error in high thermal gradient regions near the hole.