This work provides an update of the state-of-the-art on energy security relating to critical infrastructure protection. For this purpose, this survey is based upon the conceptual view of OECD countries, and specifically in accordance with EU Directive 114/08/EC on the identification and designation of European critical infrastructures, and on the 2009 US National Infrastructure Protection Plan. The review discusses the different definitions of energy security, critical infrastructure and key resources, and shows some of the experie`nces in countries considered as international reference on the subject, including some information-sharing issues. In addition, the paper carries out a complete review of current methodologies, software applications and modelling techniques around critical infrastructure protection in accordance with their functionality in a risk management framework. The study of threats and vulnerabilities in critical infrastructure systems shows two important trends in methodologies and modelling. A first trend relates to the identification of methods, techniques, tools and diagrams to describe the current state of infrastructure. The other trend accomplishes a dynamic behaviour of the infrastructure systems by means of simulation techniques including systems dynamics, Monte Carlo simulation, multi-agent systems, etc.