The recent successful use of immunotherapeutic agents for the treatment of cancer has provided further support for a role for the immune system in this disease and so, it is appropriate to remember the father of immunotherapy, William B. Coley, who started this journey in 1891. Coley, a surgeon with an interest in bone sarcoma, attempted to treat patients with inoperable bone and soft-tissue sarcoma with administrations of bacterial preparations. He developed a treatment that became known as Coley Toxins, which he used for over 40 years at the Bone Sarcoma Unit at Memorial Hospital, now the Memorial Sloan-Kettering Cancer Centre in New York City, surrounded by controversy and scepticism but achieving undeniable success. In this review we will outline the subsequent progress of his idea, including related adaptations, and explore alternatives such as heat-killed mycobacteria-based immunotherapies, which are being developed by the pharmaceutical industry. We will present evidence to explain the potential value of this approach and discuss its applicability to cancer immunotherapy.