It is currently estimated that the economic burden for obstructive sleep apnea syndrome (OSAS) cases not coming to medical attention is steadily increasing, thus making OSAS a major public health concern. For its increasing incidence among the common population, the interest of researchers and clinicians has been recently directed to the study of pathological mechanisms underlying sleep disorders. Current opinion is that airway inflammation and oxidative stress play a crucial role in the pathophysiology of OSAS. Recently there has been increasing interest in the investigation of lungs by non-invasive means measuring the exhaled breath volatile mediators, such as nitric oxide (NO), carbon monoxide (CO), ethane and pentane and finally the non-volatile substances in the liquid phase of exhalate, termed breath condensate. The non-invasiveness of these techniques for the study of airways affected by different respiratory disorders and among those, the OSAS, makes these ideally suited for the evaluation and serial monitoring of patients. Notwithstanding the increasing number of scientific contributions on the use of the exhaled markers in sleep disorders, at the moment, their use is not completely suitable for clinical application. An important contribution to the increase of our knowledge on exhaled markers and for their possible concrete application in clinical practice may come from future studies using proteomics, genomics and metabolomics. In this review, we focus on exhaled breath analysis giving an update on its general aspects, its application in OSAS, and finally its actual clinical applicability and areas for future direction.