The nature of dark matter is a long standing problem. The latest observation in cosmology now indicate that dark matter represents about 23 % of the total content of the Universe and 80% of its matter component. Many candidates have been proposed. Most of them are spin-1/2 fermionic particles with a mass greater than a few GeV. Yet spin-0 and spin-1 bosons have received a lot of attention during the last decade. The lack of strong indication in favor of any of these candidates nevertheless incites to question the particle hypothesis. Yet modifying gravity in a consistent way with observations is not an easy task. So is dark matter a fluke, an impossible issue to solve, a soon answered problem or "simply" a frustrating, challenging, yet fascinating question of physics? To try to assess these questions, we review the progress which have been made in both cosmology, particle physics and astrophysics during the last thirty years regarding the nature of dark matter.