Malignant gliomas are the most common type of primary brain tumor and are in great need of novel therapeutic approaches. Advances in treatment have been very modest, significant improvement in survival has been lacking for many decades, and prognosis remains dismal. Despite "gross total" surgical resections and currently available radio-chemotherapy, malignant gliomas inevitably recur due to reservoirs of notoriously invasive tumor cells that infiltrate adjacent and non-adjacent areas of normal brain parenchyma. In principle, the immune system is uniquely qualified to recognize and target these infiltrative pockets of tumors cells, which have generally eluded conventional treatment approaches, In the span of the last 10 years, our understanding of the cancer-immune system relationship has increased exponentially; and yet we are only beginning to tease apart the intricacies of the central nervous system and immune cell interactions. This article reviews the complex associations of the immune system with brain tumors. We provide an overview of currently available treatment options for malignant gliomas, existing gaps in our knowledge of brain tumor immunology, and strategies that might be exploited for improved design of "custom immunotherapeutics." We will also examine major new immunotherapy approaches that are being actively investigated to treat patients with malignant glioma, and identify some current and future research priorities in this area.