Immunotherapy has revolutionized cancer therapy and has been named the cancer advance of the year for 2016. Checkpoint inhibitors have demonstrated unprecedented rates of durable responses in some of the most difficult-to-treat cancers; however, many treated patients do not respond, and the potential for serious side effects exists. There is a growing need to identify biomarkers that will improve the selection of patients who will best respond to therapy, further elucidate drug mechanisms of action, and help tailor therapy regimens. Biomarkers are being explored at the soluble, cellular, and genomic levels, and examples in immunotherapy include serum proteins, tumor-specific receptor expression patterns, factors in the tumor microenvironment, circulating immune and tumor cells, and host genomic factors. The search for reliable biomarkers is limited by our incomplete understanding of how immunotherapies modify the already complex immune response to cancer, as well as the contribution of immuno-editing to a dynamic and inducible tumor microenvironment and immune milieu. Furthermore, there has been little extension of any candidate assay into large, prospective studies, and the lack of standardization in measurement and interpretation restricts their validity. Both tumor-infiltrating lymphocytes and PD-L1 expression within the tumor microenvironment have been recognized as having both prognostic and predictive value for patients treated with immunotherapy. Alternately, a larger panel of gene signatures, chemokines, and other factors that correlate with response has been proposed. In this article, we will explore the status of current biomarker candidates.