The advent of newer immunotherapeutic and molecularly targeted agents has provided a number of effective options for cancer treatment but has also added much complexity in selecting the best initial treatment or treatment plan for each patient. Molecularly targeted agents offer selectivity and are the cornerstone for “precision medicine.” While targeted agents are associated with high tumor response rates, patients inevitably develop resistance to these drugs. Immunotherapies exploit the endogenous immune system to eradicate cancer and can produce durable disease control that results in long-term, treatment-free survival in some patients. Guidelines for treatment selection in patients with specific tumor types and clinical features are routinely being reconsidered in order to accommodate the increasingly complex treatment landscapes. Here, we review current perspectives on the use of immunotherapeutic agents, particularly immune checkpoint inhibitors (nivolumab, pembrolizumab, and ipilimumab), in combination or in sequence with molecularly targeted agents in patients with advanced melanoma as well as other tumor types. We further discuss remaining unmet needs for patient selection and treatment with approved therapies.