Autophagy is a cellular self-catabolic process in which cytoplasmic constituents are sequestered in double membrane vesicles that fuse with lysosomes where they are degraded. As this catabolic activity generates energy, autophagy is often induced under nutrient limiting conditions providing a mechanism to maintain cell viability and may be exploited by cancer cells for survival under metabolic stress. However, progressive autophagy can be cytotoxic and autophagy can under certain settings substitute for apoptosis in induction of cell death. Moreover, loss of autophagy is correlated with tumorigenesis and several inducers of autophagy are tumor-suppressor genes. Thus, the relation of autophagy to cancer development is complex and depends on the genetic composition of the cell as well as on the extra-cellular stresses a cell is exposed to. In this review we describe the intricate nature of autophagy and its regulators, particularly those that have been linked to cancer. We discuss the multifaceted relation of autophagy to tumorigenesis and highlight studies supporting a role for autophagy in both tumor-suppression and tumor-progression. Finally, various autophagy-targeting therapeutic strategies for cancer treatment are presented.