Herein we review theoretical and methodological considerations important for finding and delimiting cryptic species of parasites (species that are difficult to recognize using traditional systematic methods). Applications of molecular data in empirical investigations of cryptic species are discussed from an historical perspective, and we evaluate advantages and disadvantages of approaches that have been used to date. Developments concerning the theory and practice of species delimitation are emphasized because theory is critical to interpretation of data. The advantages and disadvantages of different molecular methodologies, including the number and kind of loci, are discussed relative to tree-based approaches for detecting and delimiting cryptic species. We conclude by discussing some implications that cryptic species have for research programmes in parasitology, emphasizing that careful attention to the theory and operational practices involved in finding, delimiting, and describing new species (including cryptic species) is essential, not only for fully characterizing parasite biodiversity and broader aspects of comparative biology such as systematics, evolution, ecology and biogeography, but to applied research efforts that strive to improve development and understanding of epidemiology, diagnostics, control and potential eradication of parasitic diseases.