To communicate, cells are known to release in their environment proteins which bind to receptors on surrounding cells. But cells also secrete more complex structures, called membrane vesicles, composed of a lipid bilayer with inserted transmembrane proteins, enclosing an internal content of hydrophilic components. Exosomes represent a specific subclass of such secreted membrane vesicles, which, despite having been described more than 20 years ago by two groups studying reticulocyte maturation, have only recently received attention from the scientific community. This renewed interest originated first from the description of exosome secretion by antigen-presenting cells, suggesting a potential role in immune responses, and very recently by the identification of the presence of RNA (both messenger and microRNA) in exosomes, suggesting a potential transfer of genetic information between cells. In this review, we will describe the conclusions of 20 years of studies on the immune properties of exosomes and the most recent advances on their roles and potential uses as markers or as therapeutic tools during pathologies, especially in cancer.