The amount of data generated by the current interconnected world is immeasurable, and a large part of such data is publicly available, which means that it is accessible by any user, at any time, from anywhere in the Internet. In this respect, Open Source Intelligence (OSINT) is a type of intelligence that actually benefits from that open nature by collecting, processing and correlating points of the whole cyberspace to generate knowledge. In fact, recent advances in technology are causing OSINT to currently evolve at a dizzying rate, providing innovative data-driven and AI-powered applications for politics, economy or society, but also offering new lines of action against cyberthreats and cybercrime. The paper at hand describes the current state of OSINT and makes a comprehensive review of the paradigm, focusing on the services and techniques enhancing the cybersecurity field. On the one hand, we analyze the strong points of this methodology and propose numerous ways to apply it to cybersecurity. On the other hand, we cover the limitations when adopting it. Considering there is a lot left to explore in this ample field, we also enumerate some open challenges to be addressed in the future. Additionally, we study the role of OSINT in the public sphere of governments, which constitute an ideal landscape to exploit open data.