This was not as easy as it seemed. A checklist to get target display mode working:

1. Make sure both your iMac and your Macbook Pro are equipped with Thunderbolt. It only works Thunderbolt -> Thunderbolt or Display port -> Display port, no mix allowed.
2. Make sure you are using a Thunderbolt cable, display port cables won’t work for newer models equipped with TB.
3. Make sure the cable on iMac’s side is turned the right way (you can insert it upside down into the iMac but not into Macbook Pro!).
4. Make sure you are using a Mac keyboard, a PC keyboard will not work, even if remapped. Use the small Bluetooth keyboard provided with your iMac.
5. Press Command-F2 on your iMac’s keyboard. If your function keys are not used as “standard function keys” (can be set in Settings / Keyboard) – use Command-Fn-F2.

When in target display mode you can adjust the brightness of your iMac’s screen by pressing F1/F2 on the iMac’s keyboard. To go back to regular mode press Command-F2 again.

Good luck!