The wide adoption of path‐tracing algorithms in high‐end realistic rendering has stimulated many diverse research initiatives. In this paper we present a coherent survey of methods that utilize Monte Carlo integration for estimating light transport in scenes containing participating media. Our work complements the volume‐rendering state‐of‐the‐art report by Cerezo et al. [CPP*05]; we review publications accumulated since its publication over a decade ago, and include earlier methods that are key for building light transport paths in a stochastic manner. We begin by describing analog and non‐analog procedures for free‐path sampling and discuss various expected‐value, collision, and track‐length estimators for computing transmittance. We then review the various rendering algorithms that employ these as building blocks for path sampling. Special attention is devoted to null‐collision methods that utilize fictitious matter to handle spatially varying densities; we import two “next‐flight” estimators originally developed in nuclear sciences. Whenever possible, we draw connections between image‐synthesis techniques and methods from particle physics and neutron transport to provide the reader with a broader context.