Anorexia, or loss of appetite, is a troubling symptom for many patients with advanced cancer. The early observation that breast cancer patients, who were prescribed megestrol acetate as a cancer treatment, went on to increase their appetite and gain weight has given rise to a large number of clinical trials that have tested this progestational drug as a palliative agent for the cancer anorexia/weight loss syndrome. This review focuses on these trials, summarizing their findings and providing a practical approach for prescribing megestrol acetate to advanced cancer patients who suffer from the cancer anorexia/weight loss syndrome.