Until recently, immunotherapy has been the only therapeutic option available for patients with advanced kidney cancer, even though different choices were often made on the two sides of the Atlantic Ocean. The absence of alternatives made different immunotherapeutic approaches common practice, even with few adequate randomized studies that addressed key questions, such as the best treatment and schedule, and so on. The recent registration of the first two, molecularly targeted, agents Sorafenib and Sunitinib could (and will) render many therapeutic approaches, e.g., single-agent Interferon, obsolete. In this review, we shall cover the past achievements obtained so far with cytokine-based immunotherapy and discuss the present role of immunotherapy in the era of molecularly targeted agents. In particular, specific indications for immunotherapy are emerging (e.g., the use of Interleukin-2 in patients with high CAIX expression), while new trials are ongoing to test immunotherapy in combination with molecularly targeted agents, such as Sorafenib, Sunitinib, or Bevacizumab.