The heavy fermion systems present a unique platform in which strong electronic correlations give rise to a host of novel, and often competing, electronic and magnetic ground states. Amongst a number of potential experimental tools at our disposal, measurements of the Hall effect have emerged as a particularly important one in discerning the nature and evolution of the Fermi surfaces of these enigmatic metals. In this article, we present a comprehensive review of Hall effect measurements in the heavy fermion materials, and examine the success it has had in contributing to our current understanding of strongly correlated matter. Particular emphasis is placed on its utility in the investigation of quantum critical phenomena which are thought to drive many of the exotic electronic ground states in these systems. This is achieved by the description of measurements of the Hall effect across the putative zero-temperature instability in the archetypal heavy fermion metal YbRh₂Si₂. Using the CeMIn₅ (with M=Co, Ir) family of systems as a paradigm, the influence of (antiferro-)magnetic fluctuations on the Hall effect is also illustrated. This is compared to prior Hall effect measurements in the cuprates and other strongly correlated systems to emphasize on the generality of the unusual magnetotransport in materials with non-Fermi liquid behavior.