In this paper, an effort has been made to compile various research investigations done so far on fast response gauges for the short duration measurement in the transient state. The review paper is not only about summarization of all-important research work; rather, a detailed review on the development of the fast response gauges, its application, and various methods of heat estimation from the measured transient temperature history is also presented. Before discussing the development of fast response gauges, various heat flux measurement techniques and newer trends in heat transfer gauges are presented. The focus of this Review is mainly on the thin-film gauge, a robust fast response temperature detector best suited for the short duration measurement. The literature on the application of thin-film gauges for various engineering systems such as turbomachinery and aerodynamic heating systems is broadly categorized as single-layered and multi-layered gauges. The applications for the internal combustion engine and low heat flux measurement are also discussed later. The summary tables with studies arranged in chronological order are also provided. Finally, the estimation of the heat transfer rate from the measured transient temperature data is presented.