Combinatorial chemistry is now commonplace in the pharmaceutical industry and applied rigorously in the discovery of drugs. Within materials science, combinatorial methods have been widely applied in investigating thin-films and since its re-introduction in the mid 90's more than 20 new families of materials have been discovered. Yet, given the high diversity of states that can be produced in a single deposition, such methods are now being used more prominently to optimise functional properties of existing materials; having been applied in a variety of fields. In this review we will cover the key developments in bandgap, ferro/di-electric, fuel cell anode/ cathode, H(2) storage, hardness, Li battery electrodes, luminescence, transparent ferro-magnetic, photocatalytic, photovoltaic, shape-memory, transparent conducting oxide and thermo-electric materials optimisation. The critical review focuses on how functional-property relationships have been derived from combinatorial studies (217 references).