Exosomes are a subset of extracellular vesicles that carry specific combinations of proteins, nucleic acids, metabolites, and lipids. Mounting evidence suggests that exosomes participate in intercellular communication and act as important molecular vehicles in the regulation of numerous physiological and pathological processes, including cancer development. Exosomes are released by various cell types under both normal and pathological conditions, and they can be found in multiple bodily fluids. Moreover, exosomes carrying a wide variety of important macromolecules provide a window into altered cellular or tissue states. Their presence in biological fluids renders them an attractive, minimally invasive approach for liquid biopsies with potential biomarkers for cancer diagnosis, prediction, and surveillance. Due to their biocompatibility and low immunogenicity and cytotoxicity, exosomes have potential clinical applications in the development of innovative therapeutic approaches. Here, we summarize recent advances in various technologies for exosome isolation for cancer research. We outline the functions of exosomes in regulating tumor metastasis, drug resistance, and immune modulation in the context of cancer development. Finally, we discuss prospects and challenges for the clinical development of exosome-based liquid biopsies and therapeutics.