A variety of approaches have been proposed to provide formal and informal validation of proposed surrogate markers. To achieve true clinical impact, the validation must convince both the statistical and clinical communities. In this paper, we argue that the best approach is not a single method but a multi-faceted exploration, using multiple approaches, including those that directly appeal to clinicians but with less statistical foundation and those arising from statistical considerations but more difficult to interpret clinically. We illustrate our approach using data from clinical trials in both early and advanced colorectal cancer.