Hormone replacement therapy (HRT) in young postmenopausal women is a safe and effective tool to counteract climacteric symptoms and to prevent long-term degenerative diseases, such as osteoporotic fractures, cardiovascular disease, diabetes mellitus and possibly cognitive impairment. The different types of HRT offer to many extent comparable efficacies on symptoms control; however, the expert selection of specific compounds, doses or routes of administration can provide significant clinical advantages. This paper reviews the role of the non-oral route of administration of sex steroids in the clinical management of postmenopausal women. Non-orally administered estrogens, minimizing the hepatic induction of clotting factors and others proteins associated with the first-pass effect, are associated with potential advantages on the cardiovascular system. In particular, the risk of developing deep vein thrombosis or pulmonary thromboembolism is negligible in comparison to that associated with oral estrogens. In addition, recent indications suggest potential advantages for blood pressure control with non-oral estrogens. To the same extent, a growing literature suggests that the progestins used in association with estrogens may not be equivalent. Recent evidence indeed shows that natural progesterone displays a favorable action on the vessels and on the brain, while this might not be true for some synthetic progestins. Compelling indications also exist that differences might also be present for the risk of developing breast cancer, with recent trials indicating that the association of natural progesterone with estrogens confers less or even no risk of breast cancer as opposed to the use of other synthetic progestins. In conclusion, while all types of hormone replacement therapies are safe and effective and confer significant benefits in the long-term when initiated in young postmenopausal women, in specific clinical settings the choice of the transdermal route of administration of estrogens and the use of natural progesterone might offer significant benefits and added safety.