The prevalence of allergic diseases, such as rhinoconjunctivitis, is increasing worldwide, particularly in Westernized countries, where more than 30% of the population is affected. Insect venom allergy is also very common, affecting up to 5% of the population. Allergen-specific immunotherapy is the only immunomodulatory treatment that may alter the natural course of allergic disease, for example by preventing the development of asthma in rhinitic patients. Nonetheless, the risk-benefit ratio for subcutaneous immunotherapy has changed little from when it was first developed a century ago. However, the rapid evolution of new developments, including new methods of administration and new forms of antigen to stimulate the immune system, now offers improvements in both the safety and the efficacy of specific immunotherapy. These developments include the sublingual administration of the relevant antigens, which has a superior safety profile than the original subcutaneous route. This may enable higher dosages to be used over shorter treatment periods, with a lower risk of anaphylactic reactions. Improvements in the purity, specificity, and immunogenicity of the antigens, often as a result of advances in biotechnology, coupled with the development of new adjuvants, may further increase the efficacy of this form of treatment. This review describes and discusses these new developments in the context of the many recent advances in our understanding of the mechanisms by which immunotherapy appears to act.