Precise and reliable measurements of the masses and radii of neutron stars with a variety of masses would provide valuable guidance for improving models of the properties of cold matter with densities above the saturation density of nuclear matter. Several different approaches for measuring the masses and radii of neutron stars have been tried or proposed, including analyzing the X-ray fluxes and spectra of the emission from neutron stars in quiescent low-mass X-ray binary systems and thermonuclear burst sources; fitting the energy-dependent X-ray waveforms of rotation-powered millisecond pulsars, burst oscillations with millisecond periods, and accretion-powered millisecond pulsars; and modeling the gravitational radiation waveforms of coalescing double neutron star and neutron star -- black hole binary systems. We describe the strengths and weaknesses of these approaches, most of which currently have substantial systematic errors, and discuss the prospects for decreasing the systematic errors in each method.