Immunotherapy is a cornerstone in the treatment of melanoma, and is intended to modulate the host immunity against the tumor. Immunotherapy can be used in an adjuvant setting, after complete surgical excision in patients with a high risk of disease relapse and as a treatment in advanced (unresectable or metastatic) stages. Development of novel therapeutic approaches and the optimization of existing therapies hold a great promise in the field of melanoma therapy research. Different clinical trials are ongoing, and immunotherapy is showing the ability to confirm durable clinical benefits in selected groups of melanoma patients. The aim of this review is to summarize different types of immunotherapy agents, as well as to discuss different strategies, complementary regimens, and possible biomarkers of response to the treatment.