Cancer immunotherapy has recently emerged as a forefront strategy to fight cancer. Key players in antitumor responses are CD8 cytolytic T lymphocytes (CTLs) that can detect tumor cells that carry antigens, in other words, small peptides bound to surface major histocompatibility complex (MHC) class I molecules. The success and safety of cancer immunotherapy strategies depends on the nature of the antigens recognized by the targeted T cells, their strict tumor specificity, and whether tumors and antigen-presenting cells can efficiently process the peptide. We review here the nature of the tumor antigens and their potential for the development of immunotherapeutic strategies. We also discuss the importance of proteasome in the production of these peptides in the context of immunotherapy and therapeutic cancer vaccines.