Glioblastoma multiforme (GBM) is the most common and aggressive primary brain tumor in adults. Despite intensive treatment, the prognosis for patients with GBM remains grim with a median survival of only 14.6 months. Immunotherapy has emerged as a promising approach for treating many cancers and affords the advantages of cellular-level specificity and the potential to generate durable immune surveillance. The complexity of the tumor microenvironment poses a significant challenge to the development of immunotherapy for GBM, as multiple signaling pathways, cytokines, and cell types are intricately coordinated to generate an immunosuppressive milieu. The development of new immunotherapy approaches frequently uncovers new mechanisms of tumor-mediated immunosuppression. In this review, we discuss many of the current approaches to immunotherapy and focus on the challenges presented by the tumor microenvironment.