Recent years have witnessed important breakthroughs in our understanding of tumor immunology. A variety of immunotherapeutic strategies has shown that immune manipulation can induce the regression of established cancer in humans. The identification of the genes encoding tumor-associated antigens (TAA) and the development of means for immunizing against these antigens have opened new avenues for the development of an effective anticancer immunotherapy. However, an efficient immune response against tumor requires an intricate cross-talk between cancer and immune system cells, which is still poorly understood. Only when the molecular basis underlying tumor susceptibility to an immune response is deciphered could new therapeutic strategies be designed to fit biologically defined mechanisms of cancer immune rejection. In this article, we address some of the critical issues that have been identified in cancer immunotherapy, in part from our own studies on immune therapies in melanoma patients treated with peptide-based vaccination regimens. This is not meant to be a comprehensive overview of the immunological phenomena accompanying cancer patient vaccination but rather emphasizes some emergent findings, puzzling controversies and unanswered questions that characterize this complex field of oncology. In addition to reviewing the main immunological concepts underlying peptide-based vaccination, we also review the available data regarding naturally occurring and therapeutically induced anticancer immune response, both at the peripheral and intratumoral level. The hypothesized role of innate immunity in predetermining tumor responsiveness to immunotherapeutic manipulation is also discussed.