Recent advances have highlighted the outstanding role of the innate immune system for instructing adaptive immunity. Translating this knowledge into successful immunotherapies like vaccines, however, has proven to be a difficult task. This essay is based on the hypothesis that immune responses are tightly scaled to the infectious threat posed by a given microbial stimulus. A meticulous immunological risk-assessment process is therefore instrumental for eliciting well-balanced responses and maintaining immune homeostasis. The immune system makes fine distinctions, for example, between live and dead bacteria, or pathogenic and non-pathogenic microorganisms. Here, I discuss recent evidence for some of the mechanisms underlying these distinctions and speculate on strategies for therapeutically targeting the immunological risk-assessment machinery.