Clinical researchers in oncology face the difficulty of developing new drugs for treating cancer patients. This challenge nowadays extends towards new horizons since a high number of drugs are developed in each of the three paradigms: classical cytotoxics, new targeted agents, and emergent immunotherapeutic approaches. Over the last decade, there has been an unstoppable progress in this third paradigm, to the extent that in 2013 immunotherapy was granted the scientific breakthrough of the year. However, the novel mechanisms of action of these immunotherapeutic agents entail a whole new series of concepts, resulting in a number of unresolved questions to which clarification is crucial for their success: establishment of accurate preclinical models able to predict human toxicities, better selection of candidate populations, finding and validation of predictive biomarkers, definition of suitable endpoints, improvements in first-in-human study designs, proposal of more accurate radiological response criteria, management of novel immune-related toxicities and development of combinations based on a biological rationale. In this article, we review the major challenges to overcome in forthcoming years. The final role of immunotherapy in cancer will be determined by our capacity to shed some light on some of these key points.