Pharmacological doses of glucocorticoids (GCs), acting via the glucocorticoid receptor (GR) to repress inflammation and immune function, remain the most effective therapy in the treatment of inflammatory and immune diseases. Since many patients on GC therapy exhibit GC resistance and severe side-effects, much research is focused on developing more selective GCs and combination therapies, with greater anti-inflammatory potency. GCs mediate their classical genomic transcriptional effects by binding to the cytoplasmic GR, followed by nuclear translocation and modulation of transcription of target genes by direct DNA binding of the GR or its tethering to other transcription factors. Recent evidence suggests, however, that the responses mediated by the GR are much more complex and involve multiple parallel mechanisms integrating simultaneous signals from other receptors, both in the absence and presence of GCs, to shift the sensitivity of a target cell to GCs. The level of cellular stress, immune activation status, or the cell cycle phase may be crucial for determining GC sensitivity and GC responsiveness as well as subcellular localization of the GR and GR levels. Central to the development of new drugs that target GR signaling alone or as add-on therapies, is an in-depth understanding of the molecular mechanisms of GC-independent GR desensitization, priming and activation of the unliganded GR, as well as synergy and cross-talk with other signaling pathways. This review will discuss the information currently available on these topics and their relevance to immunotherapy, as well as identify unanswered questions and future areas of research.