Our understanding of how immune responses are generated and regulated drives the design of possible immunotherapies for cancer patients. For that reason, we first describe briefly the actual immunological theories and their common perspectives about cancer vaccine development. Second, we describe cancer vaccines that are able to induce tumor-specific immune responses in cancer patients. However, these responses are not always followed by tumor rejection. At the end of the review, we discuss two possible reasons that might explain this dichotomy of cancer immunology. First, the immune response generated, although detectable, may not be quantitatively sufficient to reject the tumor. Second, the tumor microenvironment may modulate tumor cell susceptibility to the systemic immune response induced by the immunization. Finally, we discuss what, in our opinion, might be the best way to improve cancer vaccine strategies and how the relationship between the tumor and its surroundings might be studied in more details.