Density functional theory (DFT) has become an essential complement of experiments to interpret, rationalize, and understand structures, spectroscopic data, microscopy analyses, etc. of relevance in heterogeneous catalysis and photocatalysis. However, one of the major goals of theory in catalysis remains the prediction of reaction enthalpies and entropies, of transition state structures, and the identification of reaction mechanisms. While accurate theoretical methods are currently available to study the thermochemistry of molecular systems, this is much less so when reactions involve solid surfaces and in particular oxide materials. The problem stems from the approximate nature of the exchange-correlation functionals used in all DFT approaches. Attempts to improve the accuracy of reaction energies is at the core of the efforts made in the past 30 years to generate new functionals. In this review we will discuss some recent advances in the theoretical description of oxides and their surfaces in heterogeneous catalysis and photocatalysis. In particular, we will focus on two problems: (1) the determination of an oxide band gap and the proper alignment of the occupied and unoccupied levels with respect to the vacuum level, an aspect relevant for the red-ox properties of the material, and (2) the calculation of reaction energies at oxide surfaces. To this end, we will discuss and comment on the performance of current implementations of exchange-correlation functionals (standard GGA, GGA?U, hybrid functionals, meta-GGA, etc.) or alternative approaches (like the quasiparticle GW method), in predicting band alignment and chemical reactivity at oxide surfaces. The role of dispersion forces will be also briefly discussed.