This paper is dedicated to Murray Marshall, who posed many of the questions here addressed and was still working on them in the very last days of his life. We lost a wonderful collaborator and a dear friend. We sorely miss him.Abstract. Infinite dimensional moment problems have a long history in diverse applied areas dealing with the analysis of complex systems but progress is hindered by the lack of a general understanding of the mathematical structure behind them. Therefore, such problems have recently got great attention in real algebraic geometry also because of their deep connection to the finite dimensional case. In particular, our most recent collaboration with Murray Marshall and Mehdi Ghasemi about the infinite dimensional moment problem on symmetric algebras of locally convex spaces revealed intriguing questions and relations between real algebraic geometry, functional and harmonic analysis. Motivated by this promising interaction, the principal goal of this paper is to identify the main current challenges in the theory of the infinite dimensional moment problem and to highlight their impact in applied areas. The last advances achieved in this emerging field and briefly reviewed throughout this paper led us to several open questions which we outline here.