Despite recent advances in cancer immunotherapy, no prospectively validated intermediate biomarkers exist to predict response. These biomarkers are highly desirable given modern immunotherapy's paradoxical pattern of clinical benefit; that is, improvement in overall survival without short-term change in progression. Immunotherapy clinical trials have evaluated biomarkers that may correlate with clinical outcomes. Many of them are performed on peripheral blood to evaluate the systemic response, such as tumor-targeted humoral and cellular immunity, and cytokine responses. Accumulating evidence suggests that immune infiltrates in tumors may suggest evidence for the therapy's mechanism of action, and have greater potential for providing prognostic and predictive information. In addition, a non-immunologic biomarker, such as tumor growth kinetics, may explain this paradoxical pattern of clinical benefit, and predict survival in patients treated with an immunotherapy. Prospective assessment and validation of these and other intermediate markers would be required to better understand their potential clinical role.