The present article provides an overview of modern sources of scientific literature on the evaluation of the effectiveness of innovative projects. Currently, there is no generally accepted methodology for evaluating innovation efficiency. Since innovation and investment activities are closely related, many authors use the UNIDO methodology (based on accounting cash flow) to evaluate the efficiency of innovation activities. In Methodological Recommendations of the Ministry of Economy of the Russian Federation of 1999, in addition to reviewing the financial efficiency of investment projects, it is proposed to evaluate the social and budgetary efficiency. However, the evaluation system in these recommendations refer only to the part of business (financial) efficiency. Since the Russian Federation is on its way of formation of an innovative economy, there is a need to develop an adequate methodology for evaluating innovation efficiency, taking into account the most significant of effects: financial, socio-economic, budgetary, environmental, scientific and technical. The author of the article reviews and analyzes the main achievements made in this area, discloses the essential characteristics of the efficiency types. Also the author analyzes the most rational approaches of Russian scientists in trying to develop a methodology for evaluating innovation efficiency.