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Oncologists frequently face the difficult task of estimating prognosis in patients with incurable malignancies. Their prediction of prognosis informs decision-making ranging from recommendations of cancer treatments to hospice enrollment. Unfortunately, physicians’ estimates of prognosis are often inaccurate and overly optimistic. Further, physicians often fail to disclose their prognosis estimates, despite patient wishes to the contrary. Several studies have examined patient factors that might improve physicians’ prognostic accuracy, including performance status, clinical symptoms and laboratory values. Prognostic models have been developed and validated but, to date, none are able to provide accurate estimates throughout the spectrum of advanced illness. This review examines tools utilized to predict life expectancy for patients with advanced, incurable cancer.