Novel and non-invasive biomarkers are urgently needed for early detection of cancer. Exosomes are nano-sized particles released by cells and contain various bioactive molecules including proteins, DNA, mRNAs, and non-coding RNAs. Increasing evidence suggests that exosomes play critical roles in tumorigenesis, tumor growth, metastasis, and therapy resistance. Exosomes could be readily accessible in nearly all the body fluids. The altered production of exosomes and aberrant expression of exosomal contents could reflect the pathological state of the body, indicating that exosomes and exosomal contents can be utilized as novel cancer biomarkers. Herein, we review the basic properties of exosomes, the functional roles of exosomes in cancer, and the methods of detecting exosomes and exosomal contents. In particular, we highlight the clinical values of exosomal non-coding RNAs in cancer diagnosis and prognosis.