The Fourth Industrial Revolution has begun and it promises breakthroughs in Artificial Intelligence, robotics, Machine Learning, Internet of Things, Digital Twin, and many other technologies that tackle advancements in the industries. The trend is headed towards automation and connectivity. In the automotive industry, advancements have been made towards integrating autonomous driving vehicles into Intelligent Transport Systems (ITS) with the use of Vehicular Ad-Hoc Networks (VANETs). The purpose of this type of network is to enable efficient communication between vehicles (V2V communication) or vehicles and infrastructure (V2I communication), to improve driving safety, to avoid traffic congestion, and to better coordinate transport networks. This direction towards limited (or lack of) human intervention implies vulnerability to cyber attacks. In this context, this paper provides a comprehensive classification of related state-of-the-art approaches following three key directions: 1) privacy, 2) authentication and 3) message integrity within VANETs. Discussions, challenges and open issues faced by the current and next generation of vehicular networks are also provided.