Understanding travel behaviour is significant in travel demand management as well as in urban and transport planning. Over the past decade, with the advancement of data collection techniques, such as GPS, transit smart cards, and mobile phones, various types of travel trajectory data are increasingly complementing or replacing conventional travel diaries and stated preference data. Other location-aware data are used in studying human movement patterns, such as social network check-in data and banknote dispersal data. Abundance of the emerging trajectory data has driven a new wave of travel behaviour research, and introduced new research problems. This paper provides a state-of-the-art review of the travel behaviour studies categorised by trajectory data types. Based on the literature review, research challenges are discussed and promising research topics in this field are proposed for future studies.