Despite enormous advances in the mass spectrometry and proteomics fields during the last two decades, the analysis of membrane proteins still remains a challenge for the proteomic community. Membrane proteins play a wide number of key roles in several cellular events, making them relevant target molecules to study in a significant variety of investigations (e.g., cellular signaling, immune surveillance, drug targets, vaccine candidates, etc.). Here, we critically review the several attempts that have been carried out on the different steps of the sample preparation procedure to improve and modify existing conventional proteomic strategies in order to make them suitable for the study of membrane proteins. We also revise novel techniques that have been designed to tackle the difficult but relevant task of identifying and characterizing membrane proteins.