Hepatocellular carcinoma (HCC) is the most common liver tumor and among the deadliest cancers worldwide. Advanced HCC overall survival is meager and has not improved over the last decade despite approval of several tyrosine kinase inhibitors (TKi) for first and second-line treatments. The recent approval of immune checkpoint inhibitors (ICI) has revolutionized HCC palliative care. Unfortunately, the majority of HCC patients fail to respond to these therapies. Here, we elaborate on the immune landscapes of the normal and cirrhotic livers and of the unique HCC tumor microenvironment. We describe the molecular and immunological classifications of HCC, discuss the role of specific immune cell subsets in this cancer, with a focus on myeloid cells and pathways in anti-tumor immunity, tumor promotion and immune evasion. We also describe the challenges and opportunities of immunotherapies in HCC and discuss new avenues based on harnessing the anti-tumor activity of myeloid, NK and γδ T cells, vaccines, chimeric antigen receptors (CAR)-T or -NK cells, oncolytic viruses, and combination therapies.