The majority of advanced cancer patients suffer from pain, which severely deteriorates their quality of life. Apart from analgesics, bisphosphonates, and invasive methods of analgesic treatment (e.g., intraspinal and epidural analgesics or neurolytic blockades), radiation therapy plays an important role in pain alleviation. It is delivered to a growing primary tumour, lymph nodes, or distant metastatic sites, producing pain of various intensity. Currently, different regiments of radiation therapy methods and techniques and various radiation dose fractionations are incorporated into the clinical practice. These include palliative radiation therapy, conventional external beam radiation therapy, as well as modern techniques of intensity modulated radiation therapy, volumetrically modulated arch therapy, stereotactic radiosurgery or stereotactic body radiation therapy, and brachytherapy or radionuclide treatment (e.g., radium-223, strontium-89 for multiple painful osseous metastases). The review describes the possibilities and effectiveness of individual patient-tailored conventional and innovative radiation therapy approaches aiming at pain relief in cancer patients.