The prediction of the heating and cooling loads of a building is an essential aspect in studies involving the analysis of energy consumption in buildings. An accurate estimation of heating and cooling load leads to better management of energy related tasks and progressing towards an energy efficient building. With increasing global energy demands and buildings being major energy consuming entities, there is renewed interest in studying the energy performance of buildings. Alternative technologies like Artificial Intelligence (AI) techniques are being widely used in energy studies involving buildings. This paper presents a review of research in the area of forecasting the heating and cooling load of buildings using AI techniques. The results discussed in this paper demonstrate the use of AI techniques in the estimation of the thermal loads of buildings. An accurate prediction of the heating and cooling loads of buildings is necessary for forecasting the energy expenditure in buildings. It can also help in the design and construction of energy efficient buildings.