Building energy management is one of the core problems in modern power grids to reduce energy consumption while ensuring occupants comfort. However, the building energy management system (BEMS) is now facing more challenges and uncertainties with the increasing penetration of renewables and complicated interactions between humans and buildings. Classical model predictive control (MPC) has shown its capacity to reduce building energy consumption, but it suffers from labor-intensive modelling and complex on-line control optimization. Recently, with the growing accessibility to the building control and automation data, data-driven solutions have attracted more research interest. This paper presents a compact review of the recent advances in data-driven MPC and reinforcement learning based control methods for BEMS. The main challenges in these approaches and insights on the selection of a control method are discussed.