Action Valuation (AV) has emerged as a key topic in Sports Analytics, offering valuable insights by assigning scores to individual actions based on their contribution to desired outcomes. Despite a few surveys addressing related concepts such as Player Valuation, there is no comprehensive review dedicated to an in-depth analysis of AV across different sports. In this survey, we introduce a taxonomy with nine dimensions related to the AV task, encompassing data, methodological approaches, evaluation techniques, and practical applications. Through this analysis, we aim to identify the essential characteristics of effective AV methods, highlight existing gaps in research, and propose future directions for advancing the field.