In the past few years, cancer immunotherapy has emerged as a safe and effective alternative for treatment of cancers that do not respond to classical treatments, including those types with high aggressiveness. New immune modulators, such as cytokines, blockers of CTLA-4 (cytotoxic T-lymphocyte-associated protein 4) and PD-1(programmed cell death protein 1)/PD-L1 (programmed death-ligand 1), and interaction or adoptive cell therapy, have been developed and approved to treat solid and hematologic carcinomas. In these scenarios, cytotoxic lymphocytes (CL), mainly cytotoxic T cells (Tc) and natural killer (NK) cells, are ultimately responsible for killing the cancer cells and eradicating the tumor. Extensive studies have been conducted to assess how Tc and NK cells get activated and recognize the cancer cell. In contrast, few studies have focused on the effector molecules used by CLs to kill cancer cells during cancer immunosurveillance and immunotherapy. In this article, the two main pathways involved in CL-mediated tumor cell death, granule exocytosis (perforin and granzymes) and death ligands, are briefly introduced, followed by a critical discussion of the molecules involved in cell death during cancer immunosurveillance and immunotherapy. This discussion also covers unexpected consequences of proinflammatory and survival effects of granzymes and death ligands and recent experimental evidence indicating that perforin and granzymes of CLs can activate nonapoptotic pathways of cell death, overcoming apoptosis defects and chemoresistance. The consequences of apoptosis versus other modalities of cell death for an effective treatment of cancer by modulating the patient immune system are also briefly discussed.