The success of clinical proteome analysis should be assessed based on the clinical impact following implementation of findings. Although there have been several technological advancements in mass spectrometry in the last years, it has not resulted in similar advancements in clinical proteomics. In addition, application of proteomic biomarkers in clinical diagnostics and practical improvement in the disease management is extremely rare. In this review, we discuss the relevant issues associated with identification of robust biomarkers of clinical value. Urine appears to be an ideal source of biomarkers, for theoretical, methodological, and practical reasons. Therefore, this review is focused on the search for biomarkers in urine within the last decade. Urine can be used for non-invasive assessment of a variety of diseases including those affecting the urogenital tract and also other pathologies such as cardiovascular disease or appendicitis. We also discuss the importance of data validation, an essential step in translating biomarkers into the clinical practice. Furthermore, we examine several examples of apparently successful proteomic biomarker discovery studies and their implications for disease diagnosis, prognosis, and therapy evaluation. We also discuss some current challenges in this field and reflect on future research prospects. This article is part of a Special Issue entitled: Biomarkers: A Proteomic Challenge.