Advanced hepatocellular carcinoma (aHCC) is a complex disease beset by underlying liver dysfunction and high molecular heterogeneity. Sorafenib, introduced in 2007, is considered the standard systemic therapy for aHCC, yet only a minority of patients show objective evidence of a response radiologically, and median overall survival is still under 1 year. Other targeted drugs for the treatment of aHCC have failed to reach their primary endpoints of improved/non-inferior overall survival in comparison with sorafenib in recent phase 3 trials. Toxicity was a significant problem, raising the question as to whether outcomes in aHCC trials are being hindered by high levels of adverse events (AEs), particularly in populations with underlying cirrhosis. This is true of six recently failed phase 3 studies involving sunitinib, erlotinib, linifanib, brivanib (two trials), and everolimus, as well as ongoing phase 2 and 3 trials of other drugs that work through similar molecular pathways. This article reviews these drugs' toxicities, with a focus on AEs as a reason for their failure in phase 3 trials of patients with aHCC. We also review completed and ongoing phase 3 studies of combination therapies with sorafenib, as well as toxicities of many of the targeted agents in aHCC, including geographic/ethnic differences, measures of toxicity, and strategies to improve management.