Cancer vaccine delivery is a multidisciplinary scientific field that is currently undergoing rapid development. An important component of cancer vaccines is the development of novel vaccine delivery strategies, such as colloidal immunostimulatory delivery systems. The importance of formulation strategies for cancer vaccines can be explained by the poor immunogenicity of tumour antigens. Colloidal vaccine delivery systems modify the kinetics, body distribution, uptake and release of the vaccine. This review explores recent research that is directed towards more targeted treatments of cancer through to colloidal vaccine delivery systems. Widely investigated carrier systems include polymeric micro- and nanoparticles, liposomes, archaeal lipid liposomes (archaeosomes), immune-stimulating complexes and virus-like particles. These systems are evaluated in terms of their formulation techniques, immunological mechanisms of action as well as the potential and limitations of such colloidal systems in the field of cancer vaccines.