Current cancer management aims to integrate molecular signatures into the design of personalized therapies. Recent advances in "omics" done on tumor specimens have led to the identification of factors that either recognize cancers of dismal prognosis or pinpoint "druggable" signaling pathways, which can be interrupted by targeted therapies. However, accumulating evidence underscores the biological and clinical significance of immune predictors in several compartments (blood, serum, tumor) in a variety of malignancies. An additional aspect that has been overlooked is the bidirectional, tumor-host interaction during therapeutic intervention, suggesting that dynamic molecular, biochemical, and metabolic signatures should be developed in the future. We review immune parameters of prognostic or predictive value during cancer therapy, and highlight existing "descriptive-prognostic" and "functional-therapeutic" molecular signatures, with the hindsight of designing appropriate compensatory therapies.