Virtual reality (VR) is a multibillionaire market that keeps growing, year after year. As VR is becoming prevalent in households and small businesses, it is critical to address the effects that this technology might have on the privacy and security of its users. In this paper, we explore the state-of-the-art in VR privacy and security, we categorise potential issues and threats, and we analyse causes and effects of the identified threats. Besides, we focus on the research previously conducted in the field of authentication in VR, as it stands as the most investigated area in the topic. We also provide an overview of other interesting uses of VR in the field of cybersecurity, such as the use of VR to teach cybersecurity or evaluate the usability of security solutions.