We now know that cancer is many different diseases, with great variation even within a single histological subtype. With the current emphasis on developing personalized approaches to cancer treatment, it is astonishing that we have not yet systematically incorporated the biology of sex differences into our paradigms for laboratory and clinical cancer research. While some sex differences in cancer arise through the actions of circulating sex hormones, other sex differences are independent of estrogen, testosterone, or progesterone levels. Instead, these differences are the result of sexual differentiation, a process that involves genetic and epigenetic mechanisms, in addition to acute sex hormone actions. Sexual differentiation begins with fertilization and continues beyond menopause. It affects virtually every body system, resulting in marked sex differences in such areas as growth, lifespan, metabolism, and immunity, all of which can impact on cancer progression, treatment response, and survival. These organismal level differences have correlates at the cellular level, and thus, males and females can fundamentally differ in their protections and vulnerabilities to cancer, from cellular transformation through all stages of progression, spread, and response to treatment. Our goal in this review is to cover some of the robust sex differences that exist in core cancer pathways and to make the case for inclusion of sex as a biological variable in all laboratory and clinical cancer research. We finish with a discussion of lab-and clinic-based experimental design that should be used when testing whether sex matters and the appropriate statistical models to apply in data analysis for rigorous evaluations of potential sex effects. It is our goal to facilitate the evaluation of sex differences in cancer in order to improve outcomes for all patients.