With the rapid development of sensing technology, Cyber-Physical Systems (CPS) are connecting our real-world and cyber spaces by real-time situation awareness and intelligent control. In this process, one of the major challenge is how to make fast, accurate and intelligent decisions based on high-dimension, speed and volume sensing data stream. In this paper, we put human into the traditional CPS data process model and formulate a closed-loop computing paradigm for CPS data and decision intelligence. We propose a human-in-the-loop reference model for CPS, which extends the traditional cyber-physical interaction into a closed-loop process based on cyber, physical and human factors. We define the key features of human-in-the-loop CPS, summarize it as three aspects: semantic, interactive, iterative and analyze the major challenges from the perspective of data characteristics. Recent progresses in three typical application domains are reviewed and examined for their decision models and whether they have solved the target issues of human-in-the-loop CPS. According to the review and comparison, the paper finally summarizes several key future opportunities to establish an intelligent human-in-the-loop CPS.