Lorazepam, midazolam, propofol and opioids are the primary agents that are used for sustained sedation and analgesia of critically ill patients. The choice of agent depends on safety profiles, expected outcomes, cost, patient characteristics and clinical experience. Few studies have comparatively evaluated the sedatives in terms of cost. Many factors, aside from drug costs, influence the total cost of sedation in the intensive care unit. This article reviews the cost parameters of intensive care unit sedation that are specific to the characteristics of commonly used sedatives and analgesics, evaluates economic studies and cost models, summarises alternative methods of sedation and analgesia, and provides practical recommendations for methods of cost containment, including daily sedation interruption, sedation monitoring and protocol implementation.