Exosomes play a pivotal role in mediating intercellular communications and package delivery. They have recently been discovered to serve as diagnostic biomarkers as well as a possible drug delivery vehicle based on their nanometer size range and capability to transfer biological materials to recipient cells. Their unique biocompatibility, high stability, preferred tumor homing, and adjustable targeting efficiency can make exosomes an attractive and potentially effective tool of drug delivery in cancer therapy. While exosomes possess properties that make them uniquely suitable for delivery of bioactive molecules, there remains a to-be-filled gap between the current understanding about exosome biology and the ideal application scenarios. In this review, we summarize the characteristics enabling the potential of exosomes for drug delivery as well as the outstanding questions related to exosome composition and function, production and purification, bioengineering and targeting, uptake and biodistribution, efficacy and immune regulation, etc. Advanced technologies are demanded to visualize, characterize, and sort heterogeneous exosome populations. We are positive that the deeper and more comprehensive understanding of exosome biology as well as advanced nanotechnology will certainly accelerate its therapeutic applications.