Despite years of continuing efforts, the nature of the progenitors of Type Ia Supernovae remains obscure. I will review the state of the art in this field, and highlight some recent observational advances that might be hinting - finally! - at a solution. In particular, I will describe how new data mining techniques applied to the spectroscopic data base from the Sloan Digital Sky Survey have allowed us to measure the merging rate of binary White Dwarfs in the Milky Way. This rate happens to be very close to the Type Ia supernova rate in SBc spirals.