In the recent years, breakthrough advances in the characterization of the tumor-infiltrating immune cells and in the understanding of their influence on tumor invasion and metastasis have been accomplished. These studies have allowed the development of assays quantifying immune infiltrates to predict patient's clinical outcome. Increasing evidence supports their utility as prognostic and potentially teragnostic markers. The in-depth characterization of the tumor's immune profile and the standard histopathological criteria are becoming the optimal method of tumor classification in the era of personalized medicine. This review describes the major concepts in the anti-tumor immunity field, with particular focus on the tumor immune microenvironment and the delicate balance between inflammatory and anti-tumor immune responses, its importance as a prognostic tool, and its utility as a teragnostic marker for patients receiving new-generation immunotherapies.