What does it feel like to own, to control, and to be inside a body? The multidimensional nature of this experience together with the continuous presence of one's biological body, render both theoretical and experimental approaches problematic. Nevertheless, exploitation of immersive virtual reality has allowed a reframing of this question to whether it is possible to experience the same sensations towards a virtual body inside an immersive virtual environment as toward the biological body, and if so, to what extent. The current paper addresses these issues by referring to the Sense of Embodiment (SoE). Due to the conceptual confusion around this sense, we provide a working definition which states that SoE consists of three subcomponents: the sense of self-location, the sense of agency, and the sense of body ownership. Under this proposed structure, measures and experimental manipulations reported in the literature are reviewed and related challenges are outlined. Finally, future experimental studies are proposed to overcome those challenges, toward deepening the concept of SoE and enhancing it in virtual applications.