Chemotherapy, surgery, and radiation are accepted as the preferred treatment modalities against cancer, but in recent years the use of immunotherapeutic approaches has gained prominence as the fourth treatment modality in cancer patients. In this approach, a patient's innate and adaptive immune systems are activated to achieve clearance of occult cancerous cells. In this review, we discuss the preclinical and clinical immunotherapeutic (e.g., immunoadjuvants (in-situ vaccines, oncolytic viruses, CXC antagonists, device activated agents), organic and inorganic nanoparticles, and checkpoint blockade) that are under investigation for cancer therapy and diagnostics. Additionally, the innovations in imaging of immune cells for tracking therapeutic responses and limitations (e.g., toxicity, inefficient immunomodulation, etc.) are described. Existing data suggest that if immune therapy is optimized, it can be a real and potentially paradigm-shifting cancer treatment frontier.