We review what can (and cannot) be learned if dark matter is detected in one
or more experiments, emphasizing the importance of combining LHC data with
direct, astrophysical and cosmological probes of dark matter. We briefly review
the conventional picture of a thermally produced WIMP relic density and its
connection with theories of electroweak symmetry breaking. We then discuss both
experimental and theoretical reasons why one might generically expect this
picture to fail. If this is the case, we argue that a combined effort bringing
together all types of data -- combined with explicitly constructed theoretical
models -- will be the only way to achieve a complete understanding of the dark
matter in our universe and become confident that any candidate actually
provides the relic density.Comment: 25 pages, 2 figures, Invited review for Modern Physics Letters