Polymers are widely used in applications where thermal losses greatly affect efficiency of performance. Improving thermal buffering capacity is a possible remedy for this problem. This objective can be achieved by incorporating phase change materials (PCMs) into polymers. PCMs can absorb, store or release latent heat while undergoing phase transition at predetermined temperature range and hence can be used in thermal energy storage applications. When a PCM is combined with a polymeric substrate, it melts from crystalline phase while temperature of the substrate is prevented from rising. Similarly, during crystallization process from molten phase, cooling of substrate is prevented. This phenomenon maintains the required application temperature in PCM incorporated polymers. The PCM addition methods vary as per application requirements and PCM characteristics. Herein, this review article describes popular strategies of incorporation of PCMs into polymers which are direct incorporation, encapsulation and chemical modification. This article highlights benefits achieved with the use of thermal energy storing polymers in some of the application areas, such as textile systems, building systems, electronic systems, packaging systems and solar energy storage devices.