Demands on high data rate applications are increasing and consequently demands on spectral resources are increasing as well. Although electromagnetic spectrum is recently said to be in a scarcity situation, several studies have shown that this scarcity is mainly due to the legacy command-and-control regulation rather than due to physical scarcity of spectrum. For this reason, researchers have started investigating techniques to better manage the usage of spectrum. Among these techniques there exist the methods allowing the primary/secondary usage of spectrum, or secondary market. Secondary market techniques mainly manage sensing, accessing, and aborting the spectrum usage by the secondary users. Techniques developed for secondary market context are also referred to as algorithms for Cognitive Radio (CR) networks. Regulators worldwide took measures to promote the deployment of primary/secondary context. In this chapter, the authors give an illustrative discussion on CR and on the application of game theory to overcome the spectrum scarcity problem. Game theory is a field of applied mathematics that describes and analyzes scenarios with interactive decisions. In recent years, there has been considerable interest in adopting game theoretic approaches to model many communications and networking problems such as radio resource management and routing. Nowadays, game theory is also used to model interactive situations for CR terminals.