Recent mechanistic insights obtained from preclinical studies and the approval of the first immunotherapies has motivated increasing number of academic investigators and pharmaceutical/biotech companies to further elucidate the role of immunity in tumor pathogenesis and to reconsider the role of immunotherapy. Additionally, technological advances (e.g., next-generation sequencing) are providing unprecedented opportunities to draw a comprehensive picture of the tumor genomics landscape and ultimately enable individualized treatment. However, the increasing complexity of the generated data and the plethora of bioinformatics methods and tools pose considerable challenges to both tumor immunologists and clinical oncologists. In this review, we describe current concepts and future challenges for the management and analysis of data for cancer immunology and immunotherapy. We first highlight publicly available databases with specific focus on cancer immunology including databases for somatic mutations and epitope databases. We then give an overview of the bioinformatics methods for the analysis of next-generation sequencing data (whole-genome and exome sequencing), epitope prediction tools as well as methods for integrative data analysis and network modeling. Mathematical models are powerful tools that can predict and explain important patterns in the genetic and clinical progression of cancer. Therefore, a survey of mathematical models for tumor evolution and tumor-immune cell interaction is included. Finally, we discuss future challenges for individualized immunotherapy and suggest how a combined computational/experimental approaches can lead to new insights into the molecular mechanisms of cancer, improved diagnosis, and prognosis of the disease and pinpoint novel therapeutic targets.