  We review the current high-significance X-ray detections of Warm-Hot
Intergalactic Medium (WHIM) filaments at z>0 along the lines of sight to the
two blazars Mrk 421 (z=0.03) and 1ES 1028+511 (z=0.361). For these WHIM
filaments, we derive ionization corrections and, when possible, metallicity
estimates. This allows us to obtain refined estimates of the number density of
O VII WHIM systems down to the O VII column density sensitivity of our
observations, and most importantly, a measurement of the cosmological mass
density Omega_b^{WHIM} in the WHIM, at redshift z<0.361. These estimates agree
well with model predictions and with the total estimated amount of missing
baryons in the local Universe, although errors are large, due to the still
limited number of systems. We conclude discussing future observational
strategies and mission designs for WHIM studies.
