We investigate the possibility of having an event horizon within several classes of metrics that asymptote to the maximally supersymmetric IIB plane wave. We show that the presence of a null Killing vector (not necessarily covariantly constant) implies an effective separation of the Einstein equations into a standard and a wave component. This feature may be used to generate new supergravity solutions asymptotic to the maximally supersymmetric IIB plane wave, starting from standard seed solutions such as branes or intersecting branes in flat space. We find that in many cases it is possible to preserve the extremal horizon of the seed solution. On the other hand, non-extremal deformations of the plane wave solution result in naked singularities. More generally, we prove a no-go theorem against the existence of horizons for backgrounds with a null Killing vector and which contain at most null matter fields. Further attempts at turning on a nonzero Hawking temperature by introducing additional matter have proven unsuccessful. This suggests that one must remove the null Killing vector in order to obtain a horizon. We provide a perturbative argument indicating that this is in fact possible.