In the search for tumor-specific antigens, microbial and eukaryotic heat shock proteins (HSP) have been identified. Intracellularly, HSPs function as molecular chaperones supporting folding and transport of a great variety of polypeptides and proteins under normal physiological conditions and following stress stimuli. Furthermore, interferon-gamma and elevated body temperature induced by exercise have been found to increase serum levels of HSPs in humans. Extracellularly localized or plasma membrane-bound HSPs elicit a potent anti-cancer immune response mediated either by the adaptive or innate immune system. Following uptake of HSP (HSP70 and gp96)-peptide complexes by antigen presenting cells (APCs) and "cross-presentation" of HSP-chaperoned peptides on MHC class I molecules, a CD8-specific T cell response is induced. Apart from chaperoning tumor-specific peptides, HSPs per se provide activatory signals for the innate immune system. Binding of peptide-free HSP70 to APCs via Toll-like receptors (TLRs) initiates the secretion of pro-inflammatory cytokines and thus results in a broad non-specific immunostimulation. An unusual membrane localization of Hsp70, the major heat-inducible member of the HSP70 family, on tumor cells but not on corresponding normal tissues was found to act as a tumor-specific recognition structure for natural killer (NK) cells. Soluble as well as cell membrane-bound HSP70 can directly activate the cytolytic and migratory capacity of NK cells. APCs and tumor cells actively release HSP70s in lipid vesicles with biophysical properties of exosomes. These HSP70-presenting exosomes are thought to stimulate the adaptive and innate immune system in vivo. Taken together, depending on their intra/extracellular localization, peptide loading status, origin and route of application, HSPs either exert immune activation as danger signals in cancer immunity or protect cells from lethal damage induced by exogenous stress stimuli.