Cancer is a complex microenvironment, characterized by dynamic reciprocal communication between tumor cells, tumor-associated immune cells, and other stromal cells, such as cancer-associated fibroblasts and endothelial cells. The inflammatory immune cells are important players in cancer pathogenesis, by their contribution to genomic instability, epigenetic changes, tumor progression, and therapy resistance. The downregulation or aberrant cancer cell expression of major histocompatibility complex (MHC) class I has protective effects against the cytotoxic activity of the innate and adaptive immune attack. Moreover, it is currently accepted that the immune milieus, along with tumor-infiltrating lymphocyte (TIL) abundance and their spatial distribution in the tumor microenvironment, are relevant prognostic factors for cancer progression. In this context, efforts have been focused in the past few decades on understanding how tumor cells are able to escape the host immune response, in order to develop new immunotherapeutic approaches, such as the immune checkpoint blockades. Currently, the treatment with immune checkpoint inhibitors, such as antibodies against cytotoxic T lymphocyte-associated protein 4 (CTLA-4), programmed death receptor 1 (PD-1), and programmed death receptor 1 ligand (PDL-1) leads to the elimination of tumor cells through modulation of the interaction between TILs and cancer cells. Furthermore, the adoptive cell therapy, involving an autologous transplant of expanded TILs or an infusion of T cells which are genetically modified to express a T cell receptor (TCR) or chimeric antigen receptor (CAR), represents a highly personalized modality of cancer therapy. Due to relevant progress in our knowledge of the cancer genetic heterogeneity and of various immune mechanisms that contribute to tumor progression, the identification of new immune biomarkers applicable to cancer immunotherapies and the development of personalized treatment represent the next frontier in immuno-oncology.