Over the last two decades, thanks to the discovery of several pharmaceutical agents, multiple sclerosis (MS) has been transformed into a treatable disorder although the degree of therapeutic response may vary considerably. As more medications find their entry into the MS market, a clinician faces a mounting challenge of comparing risk and benefit profiles of various agents in an attempt to find the best treatment approach for each individual patient. In this review, we aim to summarize the available data on safety profiles of available MS therapies while focusing mostly on serious medication specific potential adverse events without discussing the teratogenic potential of each agent (unless there is a black box warning) or hypersensitivity reactions. Our goal is to provide a clinician with guidance on assuring the appropriate safety monitoring for patients treated with one of the agents discussed. We also comment on the future of risk management in MS and discuss possible enhancements to the current model of drug approval process and general strategies to improve the patient safety.