This work reviews the basic aspects of an alternative thermal treatment of metallic glasses by Joule heating, which explores the heat produced by an electrical current flowing through samples. The advantages of this annealing method are discussed, and a brief description of available models in a variety of materials is given. The experimental procedures are discussed in detail, with emphasis in a new variant of Joule heating, known as “linear varying current Joule heating”. This method allows one to precisely monitor the structural transformations that take place during annealing, by interrupting the thermal treatment at any desired point, leading to samples with controlled micro and/or nanostructures. Some examples of Joule heating curves in novel bulk amorphous samples are shown, to illustrate the excellent perspectives of this annealing technique.