Immune checkpoint inhibitors (ICIs) such as PD-1 inhibitors and CTLA-4 inhibitors have dramatically transformed the therapeutic landscape for malignancies and have therefore become a paradigm shift in oncology. Multiple trials have highlighted that monotherapy with agents like pembrolizumab and nivolumab has yielded very promising results in certain subsets of patients. Nevertheless, clinical benefits of checkpoint blockade are typically only seen in cancers characterized by a high degree of immune cell infiltration. Importantly, one of the emerging issues with checkpoint blockade is primary and acquired resistance, which prevents patients from achieving durable remissions. A thorough understanding of the mechanisms underpinning resistance, including genetic and epigenetic factors, the microenvironment, and oncogenic pathways, is vital, in order to improve sensitivity to treatment and efficacy in other cohorts of patients. Other immune checkpoints, including LAG-3, TIM-3, and a range of innate inhibitory molecules, are now being studied in blood cancers and could possibly be of clinical relevance in the near future. In this review, we discuss the role and function of immune checkpoints in hematologic malignancies (HM) and clinical data of this antineoplastic treatment, and we explore emerging challenges and ways to circumvent these.