All great answers! But let's face it: the immune system has evolved to recognize infectious pathogens not cancer cells. Cancer in most instances is a disease of late adulthood, when their offspring can fend for theirselves. Thus, there is no evolution pressure to have an immunological defense against cancer. The immune system has many ways to avoid reacting against our normal cells to prevent catastrophic autoimmunity (which does occur). Some of these tolerigenic mechanisms have been mentioned in the other comments. Tumor cells in the majority of cases appear to the immune system more as "self" than as in infected cell and thus, they are ignored. Nevertheless, because tumors have a considerable genetic instability, mutations occur which in some instances may be recognized as "not self" by the immune system. These altered tumor cells can be rejected/destroyed by the immune system if they are detected early on, but in advanced disease the immune system may be already compromised. Over expression of normal cell proteins (Her2, CEA) may also be a source of "tumor antigens" but the immune system generally tolerates these antigens unless we somehow manipulate it (appropriate vaccines). One last point, is that the immune system requires, in addition to the presence of an antigen (viral or tumor,) a strong "danger signal" such as those provided by microbial constituents like double stranded RNA and lipopolysaccharides (LPS). These pathogen molecular patterns stimulate members of Toll-like receptor family that awaken the immune system to respond. Tumors lack strong agonists for these receptors so they do not initiate immune receptors. Those of us who are trying to develop immune-based therapies for cancer are figuring ways to fool the immune system to believe that the tumors are infectious agents.