Glioblastoma is the most frequent and the most aggressive brain tumor. It is notoriously resistant to current treatments, and the prognosis remains dismal. Immunotherapies have revolutionized the treatment of numerous cancer types and generate great hope for glioblastoma, alas without success until now. In this review, the rationale underlying immune targeting of glioblastoma, as well as the challenges faced when targeting these highly immunosuppressive tumors, are discussed. Innovative immune-targeting strategies including cancer vaccines, oncolytic viruses, checkpoint blockade inhibitors, adoptive cell transfer, and CAR T cells that have been investigated in glioblastoma are reviewed. From a clinical perspective, key clinical trial findings and ongoing trials are discussed for each approach. Finally, limitations, either biological or arising from trial designs are analyzed, and strategies to overcome them are presented. Proof of efficacy for immunotherapy approaches remains to be demonstrated in glioblastoma, but our rapidly expanding understanding of its biology, its immune microenvironment, and the emergence of novel promising combinatorial approaches might allow researchers to finally fulfill the medical need for GBM patients.