Controlled, localized drug delivery is a long-standing goal of medical research, realization of which could reduce the harmful side-effects of drugs and allow more effective treatment of wounds, cancers, organ damage and other diseases. This is particularly the case for protein "drugs" and other therapeutic biological cargoes, which can be challenging to deliver effectively by conventional systemic administration. However, developing biocompatible materials that can sequester large quantities of protein and release them in a sustained and controlled manner has proven challenging. Glycosaminoglycans (GAGs) represent a promising class of bio-derived materials that possess these key properties and can additionally potentially enhance the biological effects of the delivered protein. They are a diverse group of linear polysaccharides with varied functionalities and suitabilities for different cargoes. However, most investigations so far have focused on a relatively small subset of GAGs - particularly heparin, a readily available, promiscuously-binding GAG. There is emerging evidence that for many applications other GAGs are in fact more suitable for regulated and sustained delivery. In this review, we aim to illuminate the beneficial properties of various GAGs with reference to specific protein cargoes, and to provide guidelines for informed choice of GAGs for therapeutic applications. Copyright © 2019 The Author(s). Published by Elsevier B.V. All rights reserved.