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The last few decades have witnessed a growing interest in location-based services. Using localization systems based on Radio Frequency (RF) signals has proven its efficacy for both indoor and outdoor applications. However, challenges remain with respect to both complexity and accuracy of such systems. Machine Learning (ML) is one of the most promising methods for mitigating these problems, as ML (especially deep learning) offers powerful practical data-driven tools that can be integrated into localization systems. In this paper, we provide a comprehensive survey of ML-based localization solutions that use RF signals. The survey spans different aspects, ranging from the system architectures, to the input features, the ML methods, and the datasets. A main point of the paper is the interaction between the domain knowledge arising from the physics of localization systems, and the various ML approaches. Besides the ML methods, the utilized input features play a major role in shaping the localization solution; we present a detailed discussion of the different features and what could influence them, be it the underlying wireless technology or standards or the preprocessing techniques. A detailed discussion is dedicated to the different ML methods that have been applied to localization problems, discussing the underlying problem and the solution structure. Furthermore, we summarize the different ways the datasets were acquired, and then list the publicly available ones. Overall, the survey categorizes and partly summarizes insights from almost 400 papers in this field. This survey is self-contained, as we provide a concise review of the main ML and wireless propagation concepts, which shall help the researchers in either field navigate through the surveyed solutions, and suggested open problems.