Understanding the molecular mechanisms and the complexity of diseases is one of the present challenges for the scientific community. Although the knowledge in this area has notably increased in the last few years thanks to the development of new approaches in genomics, high expectations are placed on proteomics. Many of the alterations observed in pathologies occur at protein level; thus, protein biomarker discovery could be a good step forward in the diagnosis, prognosis, and treatment of diseases. Herein, we describe the difficulties and the procedures established for biomarker discovery phases: discovery, verification, and validation. In addition, the principal proteomics strategies employed with this purpose are depicted. Finally, biobanking features are described in order to point out the necessity of high-quality clinical samples, collected under standardized conditions, to perform an excellent biomarker validation pipeline.