The gastroenteropancreatic (GEP) system is the site of origin of about two thirds of all neuroendocrine neoplasms (NENs) of the human body. GEP-NENs encompass a wide spectrum of entities, from very indolent tumors to highly aggressive carcinomas. They represent a challenge for the oncologist and a correct diagnostic approach is crucial for the management of patients. The nomenclature and classification of these tumors have been a matter of debate for more than a century, since their first description by Siegfried Oberdorfer. The last WHO classification provided a robust and easy-to-use tool to prognostically stratify GEP-NENs, based on morphological aspects and on proliferation rate. This review examines current approaches to the diagnosis and prognostic classification of GEP-NENs, focusing on the critical use of morphological parameters and immunohistochemical stainings, including diagnostic, site-specific and prognostic markers. The key issues of the current classification are addressed, including the emerging topics about cases with discordant morphology and proliferative index. Finally, we attempted to highlight the diagnostic pitfalls and the caveats in the use of immunohistochemical stains.