The goal of cancer immunotherapy is to boost a patient's immune response to a tumor. Yet, the design of an effective immunotherapy is complicated by various factors, including a potentially immunosuppressive tumor microenvironment, immune-modulating effects of conventional treatments, and therapy-related toxicities. These complexities can be incorporated into mathematical and computational models of cancer immunotherapy that can then be used to aid in rational therapy design. In this review, we survey modeling approaches under the umbrella of the major challenges facing immunotherapy development, which encompass tumor classification, optimal treatment scheduling, and combination therapy design. Although overlapping, each challenge has presented unique opportunities for modelers to make contributions using analytical and numerical analysis of model outcomes, as well as optimization algorithms. We discuss several examples of models that have grown in complexity as more biological information has become available, showcasing how model development is a dynamic process interlinked with the rapid advances in tumor-immune biology. We conclude the review with recommendations for modelers both with respect to methodology and biological direction that might help keep modelers at the forefront of cancer immunotherapy development.