The era of immunotherapies was unleashed in 2010 with the Food and Drug Administration (FDA) approval of the first therapeutic vaccine sipuleucel-T as a standard treatment for metastatic prostate cancer. Next, the first immune-activating anticytotoxic lymphocyte antigen-4 (CTLA-4) antibody ipilimumab exhibiting ‘immune checkpoint blockade’ was approved by FDA and European Medical Agency (EMA) for the treatment of patients with metastatic melanoma. New generations of immune checkpoint blockading antibodies targeting programmed cell death 1 (PD-1) and its ligand (PD-L1) are now under intense investigation in metastatic melanoma (MM) and non-small-cell lung cancer (NSCLC), and impressive clinical results are anticipated. Despite these successes, only a fraction of patients become clinical responders to therapy. Thus, to improve the selection of patients likely to respond, scrutinizing different immune parameters during treatment is essential. In the summary of this PhD thesis, we investigated changes in immune parameters and their possible correlation with clinical efficacy in patients with MM during treatments with the standard chemo- and immunotherapies, temozolomide (TMZ) and interferon-α2b/interleukin-2 (IFN-α/IL-2) immunotherapy. The overall aim was to assess changes in frequency and absolute counts of different immune cell subsets before and after treatment and correlate to clinical benefit. Furthermore, the thesis covers a finalized, clinical phase 1 study in patients with NSCLC testing a peptide vaccination with a HLA-A2-restricted epitope derived from indoleamine 2,3 dioxygenase (IDO). The overall aim in this trial was to evaluate safety and tolerability of IDO as an anticancer vaccine target in patients with NSCLC and to assess whether immunity correlated to clinical response.