Bone and soft tissue sarcomas are an infrequent and heterogeneous group of mesenchymal tumors, including more than a hundred different entities attending to histological patterns. Sarcomas are quite resistant to conventional chemotherapy (anthracycline and ifosfamide) with the exception of some subtypes, such as Ewing's sarcoma (ES). New drugs with proved efficacy against sarcomas include taxanes, gemcitabine, and ET-743. Preclinical studies have also identified key molecular events leading to the progression and development of sarcomas which are good candidates to targeted therapy. Inhibitors of the tyrosine kinase receptors, such as IGF-1R, c-kit, PDGFR, VEGFR, or the mTOR signaling pathway, proteasome, angiogenesis, and stress response proteins are under clinical evaluation against sarcomas. ES, a tumor characterized by chromosomal translocations that originate gene fusions (EWS-FLI1, EWS-ERG), is an example of a good chemotherapy responder tumor whose survival rate shows a plateau in recent years. Preclinical studies have identified that new targets such as HSP90 are of relevance to ES. On the other hand, recent studies showed the role of cancer stem cells (CSCs) in sarcomas and the relevance of the identification of reliable molecular markers and possible therapeutic targets. New therapeutic approaches could be directed against CSCs. This review describes more recent targeted therapy in sarcomas, with special emphasis on ES and the role of CSCs. We also emphasize the role of high throughput proteomic techniques in identifying new therapeutic targets.