Nowadays, we are witnessing a wide adoption of Machine learning (ML) models in many safety-critical systems, thanks to recent breakthroughs in deep learning and reinforcement learning. Many people are now interacting with systems based on ML every day, e.g., voice recognition systems used by virtual personal assistants like Amazon Alexa or Google Home. As the field of ML continues to grow, we are likely to witness transformative advances in a wide range of areas, from finance, energy, to health and transportation. Given this growing importance of ML-based systems in our daily life, it is becoming utterly important to ensure their reliability. Recently, software researchers have started adapting concepts from the software testing domain (e.g., code coverage, mutation testing, or property-based testing) to help ML engineers detect and correct faults in ML programs. This paper reviews current existing testing practices for ML programs. First, we identify and explain challenges that should be addressed when testing ML programs. Next, we report existing solutions found in the literature for testing ML programs. Finally, we identify gaps in the literature related to the testing of ML programs and make recommendations of future research directions for the scientific community. We hope that this comprehensive review of software testing practices will help ML engineers identify the right approach to improve the reliability of their ML-based systems. We also hope that the research community will act on our proposed research directions to advance the state of the art of testing for ML programs.