Wireless local area networks (WLANs) empowered by IEEE 802.11 (Wi-Fi) hold a dominant position in providing Internet access thanks to their freedom of deployment and configuration as well as the existence of affordable and highly interoperable devices. The Wi-Fi community is currently deploying Wi-Fi 6 and developing Wi-Fi 7, which will bring higher data rates, better multi-user and multi-AP support, and, most importantly, improved configuration flexibility. These technical innovations, including the plethora of configuration parameters, are making next-generation WLANs exceedingly complex as the dependencies between parameters and their joint optimization usually have a non-linear impact on network performance. The complexity is further increased in the case of dense deployments and coexistence in shared bands. While classical optimization approaches fail in such conditions, machine learning (ML) is able to handle complexity. Much research has been published on using ML to improve Wi-Fi performance and solutions are slowly being adopted in existing deployments. In this survey, we adopt a structured approach to describe the various Wi-Fi areas where ML is applied. To this end, we analyze over 250 papers in the field, providing readers with an overview of the main trends. Based on this review, we identify specific open challenges and provide general future research directions.