Immune cell infiltration in the tumor microenvironment is of prognostic and therapeutic import. These immune cell subsets can be heterogeneous and are composed of mature antigen-presenting cells, helper and effector cytotoxic T cells, toleragenic dendritic cells, tumor-associated macrophages, and regulatory T cells, among other cell types. With the development of novel drugs that target the immune system rather than the cancer cells, the tumor immune microenvironment is not only prognostic for overall patient outcome, but also predictive for likelihood of response to these immune-targeted therapies. Such therapies aim to reverse the cancer immunotolerance and trigger an effective antitumor immune response. Two major families of immunostimulatory drugs are currently in clinical development: pattern recognition receptor agonists (PRRago) and immunostimulatory monoclonal antibodies (ISmAb). Despite their immune-targeted design, these agents have so far been developed clinically as if they were typical anticancer drugs. Here, we review the limitations of this conventional approach, specifically addressing the shortcomings of the usual schedules of intravenous infusions every 2 or 3 weeks. If the new modalities of immunotherapy target specific immune cells within the tumor microenvironment, it might be preferable to deliver them locally into the tumor rather than systemically. There is preclinical and clinical evidence that a therapeutic systemic antitumor immune response can be generated upon intratumoral immunomodulation. Moreover, preclinical results have shown that therapeutic synergy can be obtained by combining PRRagos and ISmAbs to the local tumor site.