The increasing bandwidth requirement of new wireless applications has lead to standardization of the millimeter wave spectrum for high-speed wireless communication. The millimeter wave spectrum is part of 5G and covers frequencies between 30 and 300 GHz corresponding to wavelengths ranging from 10 to 1 mm. Although millimeter wave is often considered as a communication medium, it has also proved to be an excellent 'sensor', thanks to its narrow beams, operation across a wide bandwidth, and interaction with atmospheric constituents. In this paper, which is to the best of our knowledge the first review that completely covers millimeter wave sensing application pipelines, we provide a comprehensive overview and analysis of different basic application pipeline building blocks, including hardware, algorithms, analytical models, and model evaluation techniques. The review also provides a taxonomy that highlights different millimeter wave sensing application domains. By performing a thorough analysis, complying with the systematic literature review methodology and reviewing 165 papers, we not only extend previous investigations focused only on communication aspects of the millimeter wave technology and using millimeter wave technology for active imaging, but also highlight scientific and technological challenges and trends, and provide a future perspective for applications of millimeter wave as a sensing technology.