Dyspnea is a symptom that severely affects the quality of life of terminally ill patients. Its frequency differs considerably between studies. We aimed to characterize the frequency of dyspnea in a palliative care hospital (PCH) and to identify factors predisposing to dyspnea, particularly during the very last days of life, as a function of the underlying disease. Episodes of dyspnea were identified by the computerized extraction of prospectively collected data from the reports of care assistants or from medical observations recorded in the medical files for all stays at our PCH during the last 6 years. There were 6455 hospital stays, 88% ending in the death of the patient; 13,282 episodes of dyspnea were recorded during 2608 hospital stays (40%). Dyspnea was more frequently observed in cases of cancer than in other conditions (RR = 1.30; 95% CI: 1.14–1.48). Pulmonary metastasis increased the risk of dyspnea from 37% to 51% (RR = 1.37; 95% CI: 1.29–1.46). Dyspnea frequency varied with the primary cancer site, from 24% (brain cancer) to 60% (esophageal cancer). The data for cancer patients staying for more than 6 days who subsequently died indicated that 8% of patients experienced dyspnea exclusively during the last 4 days of the life, independently of the site of the primary cancer. Dyspnea during the last few days of life requires systematic assessment. Exclusively terminal dyspnea should be distinguished from more precocious dyspnea, as the pathophysiological mechanisms and treatments of these two forms are probably different.