LncRNAs (long non-coding RNAs) have emerged as key molecular players in the regulation of gene expression in different biological processes. Their involvement in epigenetic processes includes the recruitment of histone-modifying enzymes and DNA methyltransferases, leading to the establishment of chromatin conformation patterns that ultimately result in the fine control of genes. Some of these genes are related to tumorigenesis and it is well documented that the misregulation of epigenetic marks leads to cancer. In this review, we highlight how some of the lncRNAs implicated in cancer are involved in the epigenetic control of gene expression. While very few lncRNAs have already been identified as players in determining the cancer-survival outcome in a number of different cancer types, for most of the lncRNAs associated with epigenetic regulation only their altered pattern of expression in cancer is demonstrated. Thanks to their tissue-specificity features, lncRNAs have already been proposed as diagnostic markers in specific cancer types. We envision the discovery of a wealth of novel spliced and unspliced intronic lncRNAs involved in epigenetic networks or in highly location-specific epigenetic control, which might be predominantly altered in specific cancer subtypes. We expect that the characterization of new lncRNA (long non-coding RNA)-protein and lncRNA-DNA interactions will contribute to the discovery of potential lncRNA targets for use in therapies against cancer.