The complicated interplay between cancer and the host immune system has been studied for decades. New insights into the human immune system as well as the mechanisms by which tumours evade immune control have led to the new and innovative therapeutic strategies that are considered amongst the medical breakthroughs of the last few years. Here, we will review the current understanding of cancer immunology in general, including immune surveillance and immunoediting, with a detailed look at immune cells (T cells, B cells, natural killer cells, macrophages and dendritic cells), immune checkpoints and regulators, sialic acid‐binding immunoglobulin‐like lectins (Siglecs) and other mechanisms. We will also present examples of new immune therapies able to reverse immune evasion strategies of tumour cells. Finally, we will focus on therapies that are already used in daily oncological practice such as the blockade of immune checkpoints cytotoxic T‐lymphocyte antigen 4 (CTLA‐4) and programmed death‐1 (PD‐1) in patients with metastatic melanoma or advanced lung cancer, or therapies currently being tested in clinical trials such as adoptive T‐cell transfer.