The thermodynamics of quantum systems driven out of equilibrium has attracted increasing attention in the last decade, in connection with quantum information and statistical physics, and with a focus on non-classical signatures. While a first approach can deal with average thermodynamics quantities over ensembles, in order to establish the impact of quantum and environmental fluctuations during the evolution, a continuous quantum measurement of the open system is required. Here, we provide an introduction to the general theoretical framework to establish and interpret the thermodynamics for quantum systems whose nonequilibrium evolution is continuously monitored. We review the formalism of quantum trajectories and its consistent application to the thermodynamic scenario, where primary quantities such as work, heat, and entropy production can be defined at the stochastic level. The connection to irreversibility and fluctuation theorems is also discussed together with some recent developments, and we provide some simple examples to illustrate the general theoretical framework.