A large-scale brain network can be defined as a set of segregated and integrated regions, that is, distant regions that share strong anatomical connections and functional interactions. Data-driven investigation of such networks has recently received a great deal of attention in blood-oxygen-level-dependent (BOLD) functional magnetic resonance imaging (fMRI). We here review the rationale for such an investigation, the methods used, the results obtained, and also discuss some issues that have to be faced for an efficient exploration.