Central nervous system (CNS) infection is a nearly universal facet of systemic HIV infection that varies in character and neurological consequences. While clinical staging and neuropsychological test performance have been helpful in evaluating patients, cerebrospinal fluid (CSF) biomarkers present a valuable and objective approach to more accurate diagnosis, assessment of treatment effects and understanding of evolving pathobiology. We review some lessons from our recent experience with CSF biomarker studies. We have used two approaches to biomarker analysis: targeted, hypothesis-driven and non-targeted exploratory discovery methods. We illustrate the first with data from a cross-sectional study of defined subject groups across the spectrum of systemic and CNS disease progression and the second with a longitudinal study of the CSF proteome in subjects initiating antiretroviral treatment. Both approaches can be useful and, indeed, complementary. The first is helpful in assessing known or hypothesized biomarkers while the second can identify novel biomarkers and point to broad interactions in pathogenesis. Common to both is the need for well-defined samples and subjects that span a spectrum of biological activity and biomarker concentrations. Previously-defined guide biomarkers of CNS infection, inflammation and neural injury are useful in categorizing samples for analysis and providing critical biological context for biomarker discovery studies. CSF biomarkers represent an underutilized but valuable approach to understanding the interactions of HIV and the CNS and to more objective diagnosis and assessment of disease activity. Both hypothesis-based and discovery methods can be useful in advancing the definition and use of these biomarkers.