In the face of continuous threats from parasites, hosts have evolved an elaborate series of preventative and controlling measures - the immune system - in order to reduce the fitness costs of parasitism. However, these measures do have associated costs. Viewing an individual's immune response to parasites as being subject to optimization in the face of other demands offers potential insights into mechanisms of life history trade-offs, sexual selection, parasite-mediated selection and population dynamics. We discuss some recent results that have been obtained by practitioners of this approach in natural and semi-natural populations, and suggest some ways in which this field may progress in the near future.