The origin of dark matter as a thermal relic offers a compelling way in which the early universe was initially populated by dark matter. Alternative explanations typically appear exotic compared to the simplicity of thermal production. However, recent observations and progress from theory suggest that it may be necessary to be more critical. This is important because ongoing searches probing the microscopic properties of dark matter typically rely on the assumption of dark matter as a single, unique, thermal relic. On general grounds I will argue that non-thermal production of dark matter seems to be a robust prediction of physics beyond the standard model. However, if such models are to lead to realistic phenomenology, they must sit in a restrictive theoretical framework. As we will show, as a consequence of such restrictions, viable models will result in concrete and testable predictions. Although many challenges remain, the non-thermal component of such models may offer a new way to test string theories that are formulated to provide realistic particle physics near the electroweak scale.