RNA splicing, an essential part of eukaryotic pre-messenger RNA processing, can be simultaneous with transcription by RNA polymerase II. Here, we compare and review independent next-generation sequencing methods that quantify co-transcriptional splicing in budding yeast. Splicing in yeast is fast, taking place within seconds of intron transcription, while polymerase is within a few dozens of nucleotides of the 3' splice site. Ribosomal protein mRNAs are spliced particularly fast and co-transcriptionally. Intron-mediated regulation of some genes is also likely to be co-transcriptional. We suggest that intermediates of the splicing reaction, missing from current datasets, may hold key information about splicing kinetics.