  The standard paradigm of hierarchical structure formation in a LambdaCDM
universe predicts the presence of dark matter subhaloes, hosted by Milky
Way-sized galaxies. Anticipated subhalo masses range from 10^{10} down to a
cut-off mass between 10^{-3} and 10^{-11} solar masses. If dark matter is
composed of heavy self-annihilating or decaying particles, these subhaloes
could be visible in the gamma-ray band as faint and temporally constant sources
without astrophysical counterparts. Based upon realistic subhalo models and
current observational constraints on annihilating dark matter scenarios, we
predict that one massive Galactic subhalo between 10^6 and 10^8 solar masses
may already be present in the 11-month catalogue of Fermi-LAT. Indeed, at least
twelve objects in the first Fermi catalogue qualify as candidates. The most
promising object, 1FGL J0030.7+0724, is investigated in detail using a
dedicated Swift X-ray follow-up observation and a refined positional analysis
of the 24-month Fermi-LAT data. With the new observations, seven point-like
X-ray sources have been discovered, of which SWIFT J003119.8+072454, which
coincides with a faint radio source (12 mJy at 1.4 GHz), serves as a
counterpart candidate of 1FGL J0030.7+0724. The broad-band spectral energy
distribution is consistent with a high-energy-peaked blazar. However, flux and
extent of 1FGL J0030.7+0724 may also be compatible with a dark matter subhalo.
Detection of temporal variability or improved astrometry of 1FGL J0030.7+0724
are necessary to rule out or confirm an astrophysical origin. We discuss
strategies to identify gamma-ray sources that are associated with
self-annihilating dark matter subhaloes.
