Oils, including essential oils and their constituents, are widely reported to have penetration enhancement activity and have been incorporated into a wide range of pharmaceutical formulations. This study sought to determine if there is an evidence base for the selection of appropriate oils for particular applications and compare their effectiveness across different formulation types. A systematic review of the data sources, consisting of Google Scholar, EMBASE, PubMed, Medline, and Scopus, was carried out and, following screening and quality assessment, 112 articles were included within the analysis. The research was classified according to the active pharmaceutical ingredient, dosage form, in vitro/in vivo study, carrier material(s), penetration enhancers as essential oils, and other chemical enhancers. The review identified four groups of oils used in the formulation of skin preparations; in order of popularity, these are terpene-type essential oils (63%), fatty acid-containing essential oils (29%) and, finally, 8% of essential oils comprising Vitamin E derivatives and miscellaneous essential oils. It was concluded that terpene essential oils may have benefits over the fatty acid-containing oils, and their incorporation into advanced pharmaceutical formulations such as nanoemulsions, microemulsions, vesicular systems, and transdermal patches makes them an attractive proposition to enhance drug permeation through the skin.