Biodegradable injectable in situ forming drug delivery systems represent an attractive alternative to microspheres and implants as parenteral depot systems. Their importance will grow as numerous proteins will lose their patent protection in the near future. These devices may offer attractive opportunities for protein delivery and could possibly extend the patent life of protein drugs. The controlled release of bioactive macromolecules via (semi-) solid in situ forming systems has a number of advantages, such as ease of administration, less complicated fabrication, and less stressful manufacturing conditions for sensitive drug molecules. For these reasons, a number of polymeric drug delivery systems with the ability to form a drug reservoir at the injection site are under investigation. Here, we review various strategies used for the preparation of in situ forming parenteral drug depots and their potential benefits/draw-backs, especially with regard to the delivery of protein drug candidates.