Self-generated gradients have atttracted a lot of attention in the recent biological literature. It is considered as a robust strategy for a group of cells to find its way during a long journey. This note is intended to discuss various scenarios for modeling traveling waves of cells that constantly deplete a chemical cue, and so create their own signaling gradient all along the way. We begin with one famous model by Keller and Segel for bacterial chemotaxis. We present the model and the construction of the traveling wave solutions. We also discuss the limitation of this approach, and review some subsequent work addressing stability issues. Next, we review two relevant extensions, which are supported by biological experiments. They both admit traveling wave solutions with an explicit value for the wave speed. We conclude by discussing some open problems and perspectives, and particularly a striking mechanism of speed determinacy occurring at the back of the wave. All the results presented in this note are illustrated by numerical simulations.