RNAi, as a novel therapeutic modality, has an enormous potential to bring the era of personalized medicine one step further from notion into reality. However, delivery of RNAi effector molecules into their target tissues and cells remain extremely challenging. Major attempts have been made in recent years to develop sophisticated nanocarriers that could overcome these hurdles. This review will present the recent progress with the challenges and opportunities in this emerging field, focusing mostly on the in vivo applications with special emphasis on the strategies for RNAi delivery into immune cells.