The function of the immune system of an animal is to provide defence against infection, in order to maximize fitness. Understanding this and, particularly, how limiting resources are traded off between costly immune responses and other physiological demands, is central to properly understanding life-history traits and their evolution. Here, we propose that functional (rather than immunological) measures of immune responses should be used when investigating this. We further suggest that optimal immune responses are context specific, rather than generic; that is, a maximum immune response is not necessarily optimal. The nature of an optimal immune response will depend on the specific circumstances and infection status of the animal. Identifying and understanding such optimality requires that the effects of different immune strategies on fitness be considered.