A fundamental step in the successful management of sepsis and septic shock is early empiric antimicrobial therapy. However, for this to be effective, several decisions must be addressed simultaneously: (1) antimicrobial choices should be adequate, covering the most probable pathogens; (2) they should be administered in the appropriate dose, (3) by the correct route, and (4) using the correct mode of administration to achieve successful concentration at the infection site. In critically ill patients, antimicrobial dosing is a common challenge and a frequent source of errors, since these patients present deranged pharmacokinetics, namely increased volume of distribution and altered drug clearance, which either increased or decreased. Moreover, the clinical condition of these patients changes markedly over time, either improving or deteriorating. The consequent impact on drug pharmacokinetics further complicates the selection of correct drug schedules and dosing during the course of therapy. In recent years, the knowledge of pharmacokinetics and pharmacodynamics, drug dosing, therapeutic drug monitoring, and antimicrobial resistance in the critically ill patients has greatly improved, fostering strategies to optimize therapeutic efficacy and to reduce toxicity and adverse events. Nonetheless, delivering adequate and appropriate antimicrobial therapy is still a challenge, since pathogen resistance continues to rise, and new therapeutic agents remain scarce. We aim to review the available literature to assess the challenges, impact, and tools to optimize individualization of antimicrobial dosing to maximize exposure and effectiveness in critically ill patients.