Due to its convenience, the blood is commonly used in epigenomic studies, but its heterogeneous nature leads to interpretation difficulties, given the now widely recognized potential for confounding by cell composition effects. Many recent publications have reported significant associations between DNA methylation and a variety of health conditions or exposures. In this review, we summarize many of these recent publications, highlighting the findings in the context of potential cell composition effects, particularly findings that are indicative of immune response or inflammation. While there is substantial evidence for confounding by cell composition, there is nevertheless also evidence for differential DNA methylation suggestive of processes that are not cell mediated. We conclude that important biological insights still may be gained from studying DNA methylation in whole blood, either by investigating the cell composition effects themselves or processes that demonstrate associations even after adjusting for cell composition effects.