Macromolecular phase transitions bear great medical, scientific and industrial relevance, yet the molecular picture of their earliest beginnings is still far from complete. For decades, progress has been hampered by the challenges associated with studying stochastic nucleation phenomena occurring on nanoscopic length scales. In the last 5 years, however, the field has advanced with great strides due to the recent buildout of experimental techniques that allow us to observe details of the nucleation process on the nanoscale. In this review, we present a historical overview and state-of-the-art analysis of protein crystal nucleation from an experimentalist's perspective. After a short introduction of key concepts from classical nucleation theory, we discuss the advancements that have led to the development of alternative models of protein nucleation. We summarize the experimental proof in favour of these various models, but we also focus on some of their shortcomings and experimental blind spots. In our penultimate section we highlight recent works that have provided direct nanoscopic insight into the nucleation of protein crystals. We end with concluding paragraphs discussing outstanding questions and possible strategies to advance the field further in the future.