The development programme for novel therapies in multiple sclerosis (MS) has an impressive track record which is unique in the field of neurology, and has led to the approval of several drugs during the past decade. However, therapeutic prosperities face numerous trials that either failed to show efficacy or that had to be halted because of other reasons including adverse events. Moreover, certain treatment strategies are controversial, both for reasons of practicability and for their true clinical benefit. There are serious caveats that highly immunoselective approaches such as monoclonal antibodies can only be applied at the expense of an increased risk of acute or long-term adverse effects. This review focuses on the most important clinical trials on yet unlicensed compounds in relapsing-remitting and secondary-progressive MS which failed, were halted or are associated with significant adverse effects since 2002. Furthermore, we discuss the implications these experiences have for our current view of MS pathogenesis as well as future study design. Examples include agents that target leukocyte differentiation molecules, co-stimulatory molecules, adhesion molecules and chemotaxis, as well as novel immunomodulators and anti-infective therapies.