Genome-wide association study (GWAS) provides a powerful tool for investigating the genetic architecture of human polygenic diseases and is generally used to identify the genetic factors of disease susceptibility, clinical phenotypes, and treatment response. The differences in allele frequencies of single nucleotide polymorphisms (SNPs) distributed throughout the genome are analyzed with a microarray technique or other technologies that allow simultaneous genotyping at several tens of thousands to several millions of SNPs per sample. Owing to its power to find out highly reliable differences between patients and controls, GWAS became a common approach to identification of the genetic susceptibility factors in complex diseases of a polygenic nature. Using multiple sclerosis (MS) as a prototype complex disease, the review considers the main achievements and challenges of using GWAS to identify the genes involved in the disease and, therefore, to better understand the pathogenetic molecular mechanisms and genetic risk factors.