The treatment of cancer has largely relied on killing tumor cells with nonspecific cytotoxic therapies and radiotherapy. This approach, however, has limitations including severe systemic toxicities, bystander effects on normal cells, recurrence of drug‐resistant tumor cells, and the inability to target micrometastases or subclinical disease. An increased understanding of the critical role of the immune system in cancer development and progression has led to new treatment strategies using various immunotherapies. It is now recognized that established tumors have numerous mechanisms of suppressing the antitumor immune response including production of inhibitory cytokines, recruitment of immunosuppressive immune cells, and upregulation of coinhibitory receptors known as immune checkpoints. This review focuses on the immune checkpoint inhibitors, a novel class of immunotherapy first approved in 2011. Our objective is to highlight similarities and differences among the three immune checkpoint inhibitors approved by the U.S. Food and Drug Administration—ipilimumab, pembrolizumab, and nivolumab—to facilitate therapeutic decision making. We conducted a review of the published literature and conference proceedings and present a critical appraisal of the clinical evidence supporting their use in the treatment of metastatic melanoma and advanced squamous non–small cell lung cancer (NSCLC). We also compare and contrast their current place in cancer therapy and patterns of immune‐related toxicities, and discuss the role of dual immune checkpoint inhibition and strategies for the management of immune‐related adverse events. The immune checkpoint inhibitors have demonstrated a dramatic improvement in overall survival in patients with advanced melanoma and squamous NSCLC, along with acceptable toxicity profiles. These agents have a clear role in the first‐line treatment of advanced melanoma and in the second‐line treatment of advanced squamous NSCLC.