Baked cereal products represent one of the most consumed foodstuffs in the world. Extensive scientific research has been focused on the volatile composition of these types of products. It has been shown that in spite of the great number of compounds identified, only a small number of them are responsible for the aroma. Many factors can affect the aroma composition of baked cereal products and different strategies have been proposed to improve the endogenous aroma. Furthermore, the addition of exogenous aroma compounds is extensively employed when baked cereal products with special traits are required. This article reviews the different ways in which the aroma is generated in baked cereal products and the methods that can be used to control or modify their flavor, as well as the problems related to the flavoring and the different approaches that flavor technologists have proposed to solve these problems. Some important issues and directions for future research in the flavor of baked cereal products are listed.