Games User Research (GUR) can provide meaningful insights into the study of games. As a part of GUR, we focus on the area of cognitive psychology and discuss electroencephalography (EEG) as an evaluation technique for games. We want to introduce game researchers to EEG when studying the cognitive side of player experience and discuss how it can benefit game studies. In this paper, we review EEG techniques before providing researchers with information about general EEG setup and methodology, EEG data collection, preparation, and analysis. Techniques reviewed have been used in medical applications, research, brain-computer interaction (BCI) and human-computer interaction (HCI) applications. In addition, future ideas for applications of EEG techniques in game studies are discussed. We outline how to use different EEG analysis techniques for game research and it is our hope to make these techniques more understandable for the game studies community and to demonstrate their merit for games user research.