Hundreds of molecular signatures have been proposed in the literature to predict patient outcome in clinical settings from high-dimensional data, many of which eventually failed to get validated. Validation of such molecular research findings is thus becoming an increasingly important branch of clinical bioinformatics. Moreover, in practice well-known clinical predictors are often already available. From a statistical and bioinformatics point of view, poor attention has been given to the evaluation of the added predictive value of a molecular signature given that clinical predictors or an established index are available. This article reviews procedures that assess and validate the added predictive value of high-dimensional molecular data. It critically surveys various approaches for the construction of combined prediction models using both clinical and molecular data, for validating added predictive value based on independent data, and for assessing added predictive value using a single data set.