This review emphasizes the benefits of parenteral nutrition (PN) in critically ill patients, when prescribed for relevant indications, in adequate quantities, and in due time. Critically ill patients are at risk of energy deficit during their ICU stay, a condition which leads to unfavorable outcomes, due to hypercatabolism secondary to the stress response and the difficulty to optimize feeding. Indirect calorimetry is recommended to define the energy target, since no single predictive equation accurately estimates energy expenditure. Energy metabolism is intimately associated with protein metabolism. Recent evidence calls for adequate protein provision, but there is no accurate method to estimate the protein requirements, and recommendations are probably suboptimal. Enteral nutrition (EN) is the preferred route of feeding, but gastrointestinal intolerance limits its efficacy and PN allows for full coverage of energy needs. Seven recent articles concerning PN for critically ill patients were identified and carefully reviewed for the clinical and scientific relevance of their conclusions. One article addressed the unfavorable effects of early PN, although this result should be more correctly regarded as a consequence of glucose load and hypercaloric feeding. The six other articles were either in favor of PN or concluded that there was no difference in the outcome compared with EN. Hypercaloric feeding was not observed in these studies. Hypocaloric feeding led to unfavorable outcomes. This further demonstrates the beneficial effects of an early and adequate feeding with full EN, or in case of failure of EN with exclusive or supplemental PN. EN is the first choice for critically ill patients, but difficulties providing optimal nutrition through exclusive EN are frequently encountered. In cases of insufficient EN, individualized supplemental PN should be administered to reduce the infection rate and the duration of mechanical ventilation. PN is a safe therapeutic option as long as sufficient attention is given to avoid hypercaloric feeding.