I found this review paper by Guyon and Elisseeff in a 2003 JMLR publication but, although not outdated, it is quite old. Is there a more recent review or resource on the topic of feature selection?
I looked into it quite recently and found these papers:
Saeys et al. (2007) (also already a bit dated, but a good overview, and I think the 'key' paper in this area).
Dougherty et al. (2009) (interesting paper discussing various difficulties such as classifier dependence, label distribution and sample size).
However, I do agree with you that there is a need for an updated review regarding this topic.
I found a 2016 fairly comprehensive review-like paper with an associated python package built on top of scikit-learn. Feature Selection: A Data Perspective. Li et al. 2016