Phase Change Materials (PCMs) have emerged as promising materials for latent thermal energy storage (TES) because they can absorb and release large amounts of thermal energy during phase transition while maintaining nearly constant temperature. Their integration into buildings can improve thermal comfort, reduce indoor temperature fluctuations, shift peak cooling and heating loads, and decrease dependence on HVAC systems. This review presents recent advances in PCM-based thermal energy storage, with particular emphasis on building applications such as walls, roofs, floors, ceilings, windows, concrete, bricks, and cementitious materials. The review discusses the classification of PCMs into organic, inorganic, eutectic, bio-based, and composite materials, along with important selection parameters including melting temperature, latent heat, thermal conductivity, density, chemical stability, supercooling, and cycling durability. Recent studies have investigated microencapsulation, macroencapsulation, shape-stabilized PCMs, nano-enhanced PCMs, porous supports, and hybrid PCM systems to overcome problems such as leakage, low thermal conductivity, phase segregation, and limited durability. Recent reviews also indicate that PCM-integrated building envelopes can reduce peak indoor temperatures and HVAC energy demand, although performance depends strongly on PCM properties, placement, quantity, building design, and climatic conditions.