The distribution of Dark Matter in galaxies is one remarkable output of structure formation in a cosmological context, and an important input for the searches of the nature of Dark Matter. In this talk, I will present the results of recent, fully data-driven analysis of the determination of the Dark Matter content in the Milky Way. I will also show how the uncertainties obtained with this observation-driven approach affect the interpretation of direct and indirect searches, and eventually the searches for the very nature of the Dark Matter.