Innovative strategies to re-establish the immune-mediated destruction of malignant cells is paramount to the success of anti-cancer therapy. Accumulating evidence suggests that radiotherapy and select chemotherapeutic drugs and small molecule inhibitors induce immunogenic cell stress on tumors that results in improved immune recognition and targeting of the malignant cells. Through immunogenic cell death, which entails the release of antigens and danger signals, and immunogenic modulation, wherein the phenotype of stressed cells is altered to become more susceptible to immune attack, radiotherapies, chemotherapies, and small-molecule inhibitors exert immune-mediated anti-tumor responses. In this review, we discuss the mechanisms of immunogenic cell death and immunogenic modulation and their relevance in the anti-tumor activity of radiotherapies, chemotherapies, and small-molecule inhibitors. Our aim is to feature the immunological aspects of conventional and targeted cancer therapies and highlight how these therapies may be compatible with emerging immunotherapy approaches.