The cryosphere consists of frozen water and includes lakes/rivers/sea ice, glaciers, ice caps/sheets, snow cover, and permafrost. Because highly reflective snow and ice are the main components of the cryosphere, it plays an important role in the global energy balance. Thus, any qualitative or quantitative change in the physical properties and extents of the cryosphere affects global air circulation, ocean and air temperatures, sea level, and ocean current patterns. Due to the hardships involved in collecting ground control points and field data for high alpine glaciers or vast polar ice sheets, several researchers are currently using remote sensing. Satellites provide an effective space-borne platform for remotely sensing frozen areas at the global and regional scales. However, satellite remote sensing has several constraints, such as limited spatial and temporal resolutions and expensive data acquisition. Therefore, aerial and terrestrial remote sensing platforms and sensors are needed to cover temporal and spatial gaps for comprehensive cryospheric research. Light Detection and Ranging (LiDAR) antennas form a group of active remote sensors that can easily be deployed on all three platforms, i.e., satellite, aerial, and terrestrial. The generation of elevation data for glacial and snow-covered terrain from photogrammetry requires high contrast amongst various reflective surfaces (ice, snow, firn, and slush). Conventional passive optical remote sensors do not provide the necessary accuracy, especially due to the unavailability of reliable ground control points. However, active LiDAR sensors can fill this research gap and provide high-resolution and accurate Digital Elevation Models (DEMs). Due to the obvious advantages of LiDAR over conventional passive remote sensors, the number of LiDAR-based cryospheric studies has increased in recent years. In this review, we highlight studies that have utilised LiDAR sensors for the cryospheric research of various features, such as snow cover, polar ice sheets and their atmospheres, alpine glaciers, and permafrost. Because this technology shows immense promise for applications in future cryospheric research, we also emphasise the prospects of utilising LiDAR sensors. In this paper, a large compilation of relevant references is presented to allow readers to explore particular topics of interest.