Large vision models with billions of parameters and trained on broad data have great potential in numerous downstream applications. However, these models are typically difficult to adapt due to their large parameter size and sometimes lack of accesss to their weights---entities able to develop large vision models often provide APIs only. In this paper, we study how to better utilize large vision models through the lens of in-context learning, a concept that has been well-known in natural language processing but has only been studied very recently in computer vision. In-context learning refers to the ability to perform inference on tasks never seen during training by simply conditioning on in-context examples (i.e., input-output pairs) without updating any internal model parameters. To demystify in-context learning in computer vision, we conduct an extensive research and identify a critical problem: downstream performance is highly sensitivie to the choice of visual in-context examples. To address this problem, we propose a prompt retrieval framework specifically for large vision models, allowing the selection of in-context examples to be fully automated. Concretely, we provide two implementations: (i) an unsupervised prompt retrieval method based on nearest example search using an off-the-shelf model, and (ii) a supervised prompt retrieval method, which trains a neural network to choose examples that directly maximize in-context learning performance. Both methods do not require access to the internal weights of large vision models. Our results demonstrate that our methods can bring non-trivial improvements to visual in-context learning in comparison to the commonly-used random selection. Code and models will be released.