Meeting the diverse delay requirements of emerging wireless applications is one of the most critical goals for the design of ultradense networks. Though the delay of point-to-point communications has been well investigated using classical queueing theory, the delay of multi-point to multi-point communications, such as in ultradense networks, has not been explored in depth. The main technical difficulty lies in the interacting queues problem, in which the service rate is coupled with the statuses of other queues. In this article, we elaborate on the main challenges in the delay analysis in ultradense networks. Several promising approaches, such as introducing the dominant system and the simplified system, to bypass these difficulties are proposed and summarized to provide useful guidance.