As far as I know, there are only X-ray diffraction method and instrumental indentation technique(IIT). And the IIT seems to obtain only a average stress. Anything else?
XRD is indeed an excellent and suitable method for stress measurements (e.g. sin²Psi method). The choice of method is, of course, closely related to the sample. For thin films on a substrate, measurements of substrate curvature based on the Stoney equation can also be performed. Other methods/alternatives are Raman spectroscopy or analysis of HOLZ lines in TEM/EBD.
Dear Wei Peng , in addition to Steffen Strehle answer, I think that some optical interference methods could be also applied for a large variety of samples.
Depending on the magnitude of the stress, and the substrate you are using or could use, you can calculate stress from substrate curvature, which could be measured with optical method or with surface profilometry.