All tumors accumulate genetic alterations, some of which can give rise to mutated, non-self peptides presented by human leukocyte antigen (HLA) molecules and elicit T-cell responses. These immunogenic mutated peptides, or neoantigens, are foreign in nature and display exquisite tumor specificity. The correlative evidence suggesting they play an important role in the effectiveness of various cancer immunotherapies has triggered the development of vaccines and adoptive T-cell therapies targeting them. However, the systematic identification of personalized neoantigens in cancer patients, a critical requisite for the success of these therapies, remains challenging. A growing amount of evidence supports that only a small fraction of all tumor somatic non-synonymous mutations (NSM) identified represent bona fide neoantigens; mutated peptides that are processed, presented on the cell surface HLA molecules of cancer cells and are capable of triggering immune responses in patients. Here, we provide an overview of the existing strategies to identify candidate neoantigens and to evaluate their immunogenicity, two factors that impact on neoantigen identification. We will focus on their strengths and limitations to allow readers to rationally select and apply the most suitable method for their specific laboratory setting.