In less than a decade, half a dozen immune checkpoint inhibitors have been approved and are currently revolutionising the treatment of many cancer (sub)types. With the clinical evaluation of novel delivery approaches (e.g. oncolytic viruses, cancer vaccines, natural killer cell-mediated cytotoxicity) and combination therapies (e.g. chemo/radio-immunotherapy) as well as the emergence of novel promising targets (e.g. TIGIT, LAG-3, TIM-3), the 'immunotherapy tsunami' is not about to end anytime soon. However, this enthusiasm in the field is somewhat tempered by both the relatively low percentage (<15%) of patients who display an effective anti-cancer immune response and the inability to accurately identify them. Recently, several existing or acquired features/parameters have been shown to impact the efficacy of immune checkpoint inhibitors. In the present review, we critically discuss current knowledge regarding predictive biomarkers for checkpoint inhibitor-based immunotherapy, highlight the missing/unclear links and emphasise the importance of characterising each neoplasm and its microenvironment in order to better guide the course of treatment.