Patients living with cancer often experience serious adverse events due to their condition or its treatments. Those events may lead to a critical care unit admission or even result in death. One of the most important but challenging part of care is to build a caring plan according to the patient’s wishes, meeting his goals and values. Advance directives (ADs) allow everyone to give their preferences in advance regarding life sustaining treatments, continuation, and withdrawal or withholding of treatments in case one is not able to speak his mind anymore. While the absence of ADs is associated with a greater probability of receiving unwanted intensive care around the end of his life, their existence correlates with the respect of the patient’s desires and his greater satisfaction. Although progress has been made to promote ADs’ completion, they are still scarcely used among cancer patients in many countries. Several limitations to their acceptation and use can be detected. Efforts should be made to provide tailored solutions for the identified hindrances. This narrative review aims to depict the situation of ADs in the oncology context, and to highlight the future areas of improvement.