Epigenetic epidemiology includes the study of variation in epigenetic traits and the risk of disease in populations. Its application to the field of cancer has provided insight into how lifestyle and environmental factors influence the epigenome and how epigenetic events may be involved in carcinogenesis. Furthermore, it has the potential to bring benefit to patients through the identification of diagnostic markers that enable the early detection of disease and prognostic markers that can inform upon appropriate treatment strategies. However, there are a number of challenges associated with the conduct of such studies, and with the identification of biomarkers that can be applied to the clinical setting. In this review, we delineate the challenges faced in the design of epigenetic epidemiology studies in cancer, including the suitability of blood as a surrogate tissue and the capture of genome-wide DNA methylation. We describe how epigenetic epidemiology has brought insight into risk factors associated with lung, breast, colorectal and bladder cancer and review relevant research. We discuss recent findings on the identification of epigenetic diagnostic and prognostic biomarkers for these cancers.