The final goal in magnetic hyperthermia research is to use nanoparticles in the form of a colloidal suspension injected into human beings for a therapeutic application. Therefore the challenge is not only to develop magnetic nanoparticles with good heating capacities, but also with good colloidal properties, long blood circulation time and with grafted ligands able to facilitate their specific internalisation in tumour cells. Significant advances have been achieved optimising the properties of the magnetic nanoparticles, showing extremely large specific absorption rate values that will contribute to a reduction in the concentration of the magnetic fluid that needs to be administered. In this review we show the effect of different characteristics of the magnetic particles, such as size, size distribution and shape, and the colloidal properties of their aqueous suspensions, such as hydrodynamic size and surface modification, on the heating capacity of the magnetic colloids.