Supergiant Fast X-ray Transients have been recently unveiled as a new class of High Mass X-ray Binaries thanks to the excellent survey capabilities of the INTEGRAL/IBIS instrument. Although there is a general agreement on explaining the behavior of supergiant Fast X-ray Transients as the result of accretion by a compact object from the wind of a supergiant star, there are unsolved questions about the details on how the mass transfer takes place. We will review the peculiarities of these sources from the multiwavelength point of view.