Nanomaterials and targeted drug delivery vehicles improve the therapeutic index of drugs and permit greater control over their pharmacokinetics, biodistribution, and bioavailability. Here, nanotechnologies applied to cancer immunotherapy are discussed with a focus on current and next generation self-assembling drug delivery systems composed of lipids and/or polymers. Topics covered include the fundamental design, suitability, and inherent properties of nanomaterials that induce anti-tumor immune responses and support anti-cancer vaccination. Established active and passive targeting strategies as well as newer "indirect" methods are presented together with insights into how nanocarrier structure and surface chemistry can be leveraged for controlled delivery to the tumor microenvironment while minimizing off-target effects.