Brain-computer interface (BCI) provides a direct communicating and controlling approach between the brain and surrounding environment, which attracts a wide range of interest in the fields of brain science and artificial intelligence. It is a core to decode the electroencephalogram (EEG) feature in the BCI system. The decoding efficiency highly depends on the feature extraction and feature classification algorithms. In this paper, we first introduce the commonly-used EEG features in the BCI system. Then we introduce the basic classical algorithms and their advanced versions used in the BCI system. Finally, we present some new BCI algorithms proposed in recent years. We hope this paper can spark fresh thinking for the research and development of high-performance BCI system.