Neurofeedback is attracting renewed interest as a method to self-regulate one’s own brain activity to directly alter the underlying neural mechanisms of cognition and behaviour. It promises new avenues as a method for cognitive enhancement in healthy subjects, but also as a therapeutic tool. In the current article, we present a review tutorial discussing key aspects relevant to the development of EEG neurofeedback studies. In addition, the putative mechanisms underlying neurofeedback learning are considered. We highlight both aspects relevant for the practical application of neurofeedback as well as rather theoretical considerations related to the development of new generation protocols. Important characteristics regarding the set-up of a neurofeedback protocol are outlined in a step-by-step way. All these practical and theoretical considerations are illustrated based on a protocol and results of a frontal-midline theta up-regulation training for the improvement of executive functions. Not least, assessment criteria for the validation of neurofeedback studies as well as general guidelines for the evaluation of training efficacy are discussed.