The design and construction of a soft robot are challenging tasks on their own. When the robot is supposed to operate without a tether, it becomes even more demanding. While a tethered operation is sufficient for a stationary use, it is impractical for wearable robots or performing tasks that demand a high mobility. Choosing and implementing an on-board pneumatic pressure source are particularly complex tasks. There are several different pressure generation methods to choose from, each with very different properties and ways of implementation. This review paper is written with the intention of informing about all pressure generation methods available in the field of soft robotics and providing an overview of the abilities and properties of each method. Nine different methods are described regarding their working principle, pressure generation behavior, energetic considerations, safety aspects, and suitability for soft robotics applications. All presented methods are evaluated in the most important categories for soft robotics pressure sources and compared to each other qualitatively and quantitatively as far as possible. The aim of the results presented is to simplify the choice of a suitable pressure generation method when designing an on-board pressure source for a soft robot.