Over the last 10 years faculty members in the Department of Mathematical Sciences at the United States Air Force Academy have incorporated individual oral exams into mathematics courses. We have experimented with various approaches, shared results and ideas with other department members, and refined our techniques. We have found that this alternative assessment gives the instructor considerable insight into students' understanding, and, in general, students value the opportunity to demonstrate their abilities via this kind of assessment. In this paper, we provide suggestions on successfully administering oral exams and offer evidence supporting their use in mathematics courses.