Chemical communication is the most ancient and widespread form of communication. Yet we are only beginning to grasp the complexity of chemical signals and the role they play in sexual selection. Focusing on insects, we review here the recent progress in the field of olfactory-based sexual selection. We will show that there is mounting empirical evidence that sexual selection affects the evolution of chemical traits, but form and strength of selection differ between species. Studies indicate that some chemical signals are expressed in relation to an individual’s condition and depend, for example, on age, immunocompetence, fertility, body size or degree of inbreeding. Males or females might benefit by choosing based on those traits, gaining resources or “good genes”. Other chemical traits appear to reliably reflect an individual’s underlying genotype and are suitable to choose a mating partner that matches best the own genotype.