Exosomes are nanometer sized membrane vesicles invaginating from multivesicular bodies and secreted from epithelial and hematopoietic cells. They were first described "in vitro" but vesicles with the hallmarks of exosomes are present in vivo in germinal centers and biological fluids. Their protein and lipid composition are unique and could account for their expanding functions such as eradication of obsolete proteins, antigen presentation or "Trojan horses" for viruses or prions. Exosome secretion could be a regulated process participating in the transfer of molecules inbetween immune cells. Despite numerous questions pertaining to their biological relevance, the potential of dendritic cell derived-exosomes as cell-free cancer vaccines is currently being assessed. This review will summarize the composition and formation of exosomes, preclinical data, Phase I trials and optimization protocols for improving their immunogenicity in tumor bearing patients.