The increasing penetration of renewable energy sources (RESs) brings more power generation fluctuations into power systems, which puts forward higher requirement on the regulation capacities for maintaining the power balance between supply and demand. In addition to traditional generators for providing regulation capacities, the progressed information and communication technologies enable an alternative method by controlling flexible loads, especially thermostatically controlled loads (TCLs) for regulation services. This paper investigates the modeling and control strategies of aggregated TCLs as the virtual energy storage system (VESS) for demand response. First, TCLs are modeled as VESSs and compared with the traditional energy storage system (ESS) to analyze their characteristic differences. Then, the control strategies of VESS are investigated in microgrid and main grid aspects, respectively. It shows that VESS control strategies can play important roles in frequency regulation and voltage regulation for power systems’ stability. Finally, future research directions of VESS are prospected, including the schedulable potential evaluation, modeling of TCLs, hierarchical control strategies of VESS considering ESSs and RESs and reliability and fast response in frequency control for VESS.