The dispersion of ferroelectric nanomaterials in liquid crystals has recently emerged as a promising way for the design of advanced and tunable electro-optical materials. The goal of this paper is a broad overview of the current technology, basic physical properties, and applications of ferroelectric nanoparticle/liquid crystal colloids. By compiling a great variety of experimental data and discussing it in the framework of existing theoretical models, both scientific and technological challenges of this rapidly developing field of liquid crystal nanoscience are identified. They can be broadly categorized into the following groups: (i) the control of the size, shape, and the ferroelectricity of nanoparticles; (ii) the production of a stable and aggregate-free dispersion of relatively small (~10 nm) ferroelectric nanoparticles in liquid crystals; (iii) the selection of liquid crystal materials the most suitable for the dispersion of nanoparticles; (iv) the choice of appropriate experimental procedures and control measurements to characterize liquid crystals doped with ferroelectric nanoparticles; and (v) the development and/or modification of theoretical and computational models to account for the complexity of the system under study. Possible ways to overcome the identified challenges along with future research directions are also discussed.