Recently, air plasma, produced by focusing an intense laser beam to ionize atoms or molecules, has been demonstrated to be a promising source of broadband terahertz waves. However, simultaneous broadband and coherent detection of such broadband terahertz waves is still challenging. Electro-optical sampling and photoconductive antennas are the typical approaches for terahertz wave detection. The bandwidth of these detection methods is limited by the phonon resonance or carrier’s lifetime. Unlike solid-state detectors, gaseous sensors have several unique features, such as no phonon resonance, less dispersion, no Fabry-Perot effect, and a continuous renewable nature. The aim of this article is to review the development of a broadband terahertz time-domain spectrometer, which has both a gaseous emitter and sensor mainly based on author’s recent investigation. This spectrometer features high efficiency, perceptive sensitivity, broad bandwidth, adequate signal-to-noise ratio, sufficient dynamic range, and controllable polarization. The detection of terahertz waves with ambient air has been realized through a third order nonlinear optical process: detecting the second harmonic photon that is produced by mixing one terahertz photon with two fundamental photons. In this review, a systematic investigation of the mechanism of broadband terahertz wave detection was presented first. The dependence of the detection efficiency on probe pulse energy, bias field strength, gas pressure and third order nonlinear susceptibility of gases were experimentally demonstrated with selected gases. Detailed discussions of phase matching and Gouy phase shift were presented by considering the focused condition of Gaussian beams. Furthermore, the bandwidth dependence on probe pulse duration was also demonstrated. Over 240 times enhancement of dynamic range had been accomplished with n-hexane vapor compared to conventional air sensor. Moreover, with sub-20 fs laser pulses delivered from a hollow fiber pulse compressor, an ultra-broad spectrum covering from 0.3 to 70 THz was also showed. In addition, a balanced detection scheme using a polarization dependent geometry was developed by author to improve signal-to-noise ratio and dynamic range of conventional terahertz air-biased-coherent-detection (ABCD) systems. Utilizing the tensor property of third order nonlinear susceptibility, second harmonic pulses with two orthogonal polarizations was detected by two separated photomultiplier tubes (PMTs). The differential signal from these two PMTs offers a realistic method to reduce correlated laser fluctuation, which circumvents signal-to-noise ratio and dynamic range of conventional terahertz ABCD systems. A factor of two improvement of signal-to-noise ratio was experimentally demonstrated. This paper also introduces a unique approach to directly produce a broadband elliptically polarized terahertz wave from laser-induced plasma with a pair of double helix electrodes. The theoretical and experimental results demonstrated that velocity mismatch between excitation laser pulses and generated terahertz waves plays a key role in the properties of the elliptically polarized terahertz waves and confirmed that the far-field terahertz emission pattern is associated with a coherent process. The results give insight into the important influence of propagation effects on terahertz wave polarization control and complete the mechanism of terahertz wave generation from laserinduced plasma. This review provides a critical understanding of broadband terahertz time-domain spectroscopy (THz-TDS) and introduces further guidance for scientific applications of terahertz wave gas photonics.