Internet of Vehicles have attracted a lot of attention in the automotive industry and academia recently. We are witnessing rapid advances in vehicular technologies which comprise many components such as On-Board Units (OBUs) and sensors. These sensors generate a large amount of data, which can be used to inform and facilitate decision making (for example, navigating through traffic and obstacles). One particular focus is for automotive manufacturers to enhance the communication capability of vehicles to extend their sensing range. However, existing short range wireless access, such as Dedicated Short Range Communication (DSRC), and cellular communication, such as 4G, are not capable of supporting the high volume data generated by different fully connected vehicular settings. Millimeter-Wave (mmWave) technology can potentially provide terabit data transfer rates among vehicles. Therefore, we present an in-depth survey of existing research, published in the last decade, and we describe the applications of mmWave communications in vehicular communications. In particular, we focus on MAC and physical layers and discuss related issues such as sensing-aware MAC protocol, handover algorithms, link blockage, and beamwidth size adaptation. Finally, we highlight various aspects related to smart transportation applications, and we discuss future research directions and limitations.