Cell membranes with their selective permeability play important functions in the tight control of molecular exchanges between the cytosol and the extracellular environment as the intracellular membranes do within the internal compartments. For this reason the plasma membranes often represent a challenging obstacle to the intracellular delivery of many anti-cancer molecules. The active transport of drugs through such barrier often requires specific carriers able to cross the lipid bilayer. Cell penetrating peptides (CPPs) are generally 5–30 amino acids long which, for their ability to cross cell membranes, are widely used to deliver proteins, plasmid DNA, RNA, oligonucleotides, liposomes and anti-cancer drugs inside the cells. In this review, we describe the several types of CPPs, the chemical modifications to improve their cellular uptake, the different mechanisms to cross cell membranes and their biological properties upon conjugation with specific molecules. Special emphasis has been given to those with promising application in cancer therapy.