A new technique called energy-loss magnetic chiral dichroism (EMCD) has recently been developed [P. Schattschneider, et al. Nature441, 486 (2006)] to measure magnetic circular dichroism in the transmission electron microscope (TEM) with a spatial resolution of 10 nm. This novel technique is the TEM counterpart of x-ray magnetic circular dichroism, which is widely used for the characterization of magnetic materials with synchrotron radiation. In this paper we describe several experimental methods that can be used to measure the EMCD signal [P. Schattschneider, et al. Nature441, 486 (2006); C. Hébert, et al. Ultramicroscopy108(3), 277 (2008); B. Warot-Fonrose, et al. Ultramicroscopy108(5), 393 (2008); L. Calmels, et al. Phys. Rev. B76, 060409 (2007); P. van Aken, et al. Microsc. Microanal.13(3), 426 (2007)] and give a review of the recent improvements of this new investigation tool. The dependence of the EMCD on several experimental conditions (such as thickness, relative orientation of beam and sample, collection and convergence angle) is investigated in the transition metals iron, cobalt, and nickel. Different scattering geometries are illustrated; their advantages and disadvantages are detailed, together with current limitations. The next realistic perspectives of this technique consist of measuring atomic specific magnetic moments, using suitable spin and orbital sum rules, [L. Calmels, et al. Phys. Rev. B76, 060409 (2007); J. Rusz, et al. Phys. Rev. B76, 060408 (2007)] with a resolution down to 2 to 3 nm.