Cancer is a heterogeneous and complex disease. Tumors are formed by cancer cells and a myriad of non-cancerous cell types that together with the extracellular matrix form the tumor microenvironment. These cancer-associated cells and components contribute to shape the progression of cancer and are deeply involved in patient outcome. The immune system is an essential part of the tumor microenvironment, and induction of cancer immunotolerance is a necessary step involved in tumor formation and growth. Immune mechanisms are intimately associated with cancer progression, invasion, and metastasis; as well as to tumor dormancy and modulation of sensitivity to drug therapy. Transcriptome analyses have been extensively used to understand the heterogeneity of tumors, classifying tumors into molecular subtypes and establishing signatures that predict response to therapy and patient outcomes. However, the classification of the tumor cell diversity and specially the identification of rare populations has been limited in these transcriptomic analyses of bulk tumor cell populations. Massively-parallel single-cell RNAseq analysis has emerged as a powerful method to unravel heterogeneity and to study rare cell populations in cancer, through unsupervised sampling and modeling of transcriptional states in single cells. In this context, the study of the role of the immune system in cancer would benefit from single cell approaches, as it will enable the characterization and/or discovery of the cell types and pathways involved in cancer immunotolerance otherwise missed in bulk transcriptomic information. Thus, the analysis of gene expression patterns at single cell resolution holds the potential to provide key information to develop precise and personalized cancer treatment including immunotherapy. This review is focused on the latest single-cell RNAseq methodologies able to agnostically study thousands of tumor cells as well as targeted single-cell RNAseq to study rare populations within tumors. In particular, we will discuss methods to study the immune system in cancer. We will also discuss the current challenges to the study of cancer at the single cell level and the potential solutions to the current approaches.