Multiple myeloma (MM) is a life-threatening haematological malignancy for which standard therapy is inadequate. Autologous stem cell transplantation is a relatively effective treatment, but residual malignant sites may cause relapse. Allogeneic transplantation may result in durable responses due to antitumour immunity mediated by donor lymphocytes. However, morbidity and mortality related to graft-versus-host disease remain a challenge. Recent advances in understanding the interaction between the immune system of the patient and the malignant cells are influencing the design of clinically more efficient study protocols for MM. Cellular immunotherapy using specific antigen-presenting cells (APCs), to overcome aspects of immune incompetence in MM patients, has received great attention, and numerous clinical trials have evaluated the potential for dendritic cell (DC) vaccines as a novel immunotherapeutic approach. This paper will summarize the data investigating aspects of immunity concerning MM, immunotherapy for patients with MM, and strategies, on the way, to target the plasma cell more selectively. We also include the MM antigens and their specific antibodies that are of potential use for MM humoral immunotherapy, because they have demonstrated the most promising preclinical results.