Recent successes of immune-modulating therapies for cancer have stimulated research on information flow within the immune system and, in turn, clinical applications of concepts from information theory. Through information theory, one can describe and formalize, in a mathematically rigorous fashion, the function of interconnected components of the immune system in health and disease. Specifically, using concepts including entropy, mutual information, and channel capacity, one can quantify the storage, transmission, encoding, and flow of information within and between cellular components of the immune system on multiple temporal and spatial scales. To understand, at the quantitative level, immune signaling function and dysfunction in cancer, we present a methodology-oriented review of information-theoretic treatment of biochemical signal transduction and transmission coupled with mathematical modeling.