Natural gas hydrate, a new kind of potential energy, is widely distributed in deep-sea sediments and permafrost regions. Geochemical exploration, as one of the methods for exploiting gas hydrates, is becoming more and more important. Based on research results obtained both in China and abroad, this paper deals with the geochemical methods used in exploiting gas hydrates of marine and permafrost regions, and presents the mechanism and the latest research achievements in this aspect.