These are exciting times for cancer immunotherapy. After many years of disappointing results, the tide has finally changed and immunotherapy has become a clinically validated treatment for many cancers. Immunotherapeutic strategies include cancer vaccines, oncolytic viruses, adoptive transfer of ex vivo activated T and natural killer cells, and administration of antibodies or recombinant proteins that either costimulate cells or block the so-called immune checkpoint pathways. The recent success of several immunotherapeutic regimes, such as monoclonal antibody blocking of cytotoxic T lymphocyte-associated protein 4 (CTLA-4) and programmed cell death protein 1 (PD1), has boosted the development of this treatment modality, with the consequence that new therapeutic targets and schemes which combine various immunological agents are now being described at a breathtaking pace. In this review, we outline some of the main strategies in cancer immunotherapy (cancer vaccines, adoptive cellular immunotherapy, immune checkpoint blockade, and oncolytic viruses) and discuss the progress in the synergistic design of immune-targeting combination therapies.