Multiple sclerosis (MS) is a chronic demyelinating disease of the central nervous system and mainly affects young adults. Its natural history has changed in recent years with the advent of disease-modifying drugs, which have been available since the early 1990s. The increasing number of first-line and second-line treatment options, together with the variable course of the disease and patient lifestyles and expectations, makes the therapeutic decision a real challenge. The aim of this review is to give a comprehensive overview of the main present and some future drugs for relapsing-remitting MS, including risk-benefit considerations, to enable readers to draw their own conclusions regarding the risk-benefit assessment of personalized treatment strategies, taking into account not only treatment-related but also disease-related risks. We performed a Medline literature search to identify studies on the treatment of MS with risk stratification and risk-benefit considerations. We focused our attention on studies of disease-modifying, immunomodulating, and immunosuppressive drugs, including monoclonal antibodies. Here we offer personal considerations, stemming from long-term experience in the treatment of MS and thorough discussions with other neurologists closely involved in the care of patients with the disease. MS specialists need to know not only the specific risks and benefits of single drugs, but also about drug interactions, either in simultaneous or serial combination therapy, and patient comorbidities, preferences, and fears. This has to be put into perspective, considering also the risks of untreated disease in patients with different clinical and radiological characteristics. There is no single best treatment strategy, but therapy has to be tailored to the patient. This is a time-consuming task, rich in complexity, and influenced by the attitude towards risk on the parts of both the patient and the clinical team. The broader the MS drug market becomes, the harder it will be for the clinician to help the patient decide which therapeutic strategy to opt for.