(1) Background: In this review, we provide information published in recent years on the chemical forms, main biological functions and especially on antioxidant and prooxidant activities of selenium. The main focus is put on the impact of selenoproteins on maintaining cellular redox balance and anticancerogenic function. Moreover, we summarize data on chemotherapeutic application of redox active selenium compounds. (2) Methods: In the first section, main aspects of metabolism and redox activity of selenium compounds is reviewed. The second outlines multiple biological functions, asserted when selenium is incorporated into the structure of selenoproteins. The final section focuses on anticancer activity of selenium and chemotherapeutic application of redox active selenium compounds as well. (3) Results: optimal dietary level of selenium ensures its proper antioxidant and anticancer activity. We pay special attention to antioxidant activities of selenium compounds, especially selenoproteins, and their importance in antioxidant defence. It is worth noting, that data on selenium anticancer properties is still contraversive. Moreover, selenium compounds as chemotherapeutic agents usually are used at supranutritional doses. (4) Conclusions: Selenium play a vital role for many organism systems due to its incorporation into selenoproteins structure. Selenium possesses antioxidant activity at optimal doses, while at supranutritional doses, it displays prooxidant activity. Redox active selenium compounds can be used for cancer treatment; recently special attention is put to selenium containing nanoparticles.