In oncology, prognostic markers are clinical measures used to help elicit an individual patient's risk of a future outcome, such as recurrence of disease after primary treatment. They thus facilitate individual treatment choice and aid in patient counselling. Evidence-based results regarding prognostic markers are therefore very important to both clinicians and their patients. However, there is increasing awareness that prognostic marker studies have been neglected in the drive to improve medical research. Large protocol-driven, prospective studies are the ideal, with appropriate statistical analysis and clear, unbiased reporting of the methods used and the results obtained. Unfortunately, published prognostic studies rarely meet such standards, and systematic reviews and meta-analyses are often only able to draw attention to the paucity of good-quality evidence. We discuss how better-quality prognostic marker evidence can evolve over time from initial exploratory studies, to large protocol-driven primary studies, and then to meta-analysis or even beyond, to large prospectively planned pooled analyses and to the initiation of tumour banks. We highlight articles that facilitate each stage of this process, and that promote current guidelines aimed at improving the design, analysis, and reporting of prognostic marker research. We also outline why collaborative, multi-centre, and multi-disciplinary teams should be an essential part of future studies.