More than half the sources in the Third EGRET (3EG) catalog are unidentified, and have no firmly established counterparts at other wavelengths. Some of the EGRET unidentified sources have remained a mystery since the first surveys of the gamma-ray sky with the COS-B satellite. The unidentified sources generally have large error circles, and finding counterparts has often been a challenging job. A multiwavelength approach, using X-ray, optical, and radio data, is often needed to understand the nature of these sources. This technique has been used recently to find likely identifications for several EGRET sources, such as3EG J1835+5918 (Mirabal et al. 2000), 3EG J2227+6122 (Halpern et al. 2000), and in the COS-B field 2CG 075+00, which overlaps with two EGRET sources 3EG J2016+3657 and 3EG J2021+3716 (Mukherjee et al 2000). This talk will review multiwavelength studies of unidentified EGRET sources and their spectral energy distributions, using the above-mentioned sources as examples.