Several epidemiological and observational studies have investigated the role of hormone replacement therapy (HRT) in postmenopausal women. Within a few years, clinicians shifted from considering HRT as the panacea for everything to considering it a venomous poison with which women, in search of the fountain of eternal youth, could instead harm themselves. This debate is not yet settled and the unexplained discrepancy between basic science and some of the clinical trials has fueled the discussion. One of the hottest areas of discussion remains the role of progestins. For many years, progestins were considered only as necessary additions to estrogen to protect the endometrium. However, we now know that every progestin has its own specific activities on different tissues, which can vary significantly between progestins of different classes and even within the same class. Indeed, different progestins may support or oppose the effects of estrogen depending on the tissue, thereby supporting the concept that the clinical selection of progestins for HRT is critical in determining potential positive or detrimental effects. Newer progestins, such as dydrogesterone, show effects that are remarkably different from those of other agents; these actions might be particularly relevant in the central nervous system and the cardiovascular system. The aim of the present paper is to review the comparative effects of dydrogesterone and other progestins at these sites, supporting the idea that the progestin has to be clinically selected.