In many autoimmune rheumatic diseases, there is an increased risk of cancer compared to the general population. While reasons for this increased risk have not been elucidated, it has been hypothesized that the link between cancer and autoimmunity may be bidirectional. For instance, chronic inflammation and damage from the rheumatic disease or its therapies may trigger malignant transformation; conversely, anti-tumor immune responses targeting cancers may become cross-reactive resulting in autoimmunity. In rare rheumatic diseases, longitudinal observational studies can play a critical role in studying these complex relationships, enabling investigators to quantify the extent of cancer risk, identify unique clinical phenotypes that associate with cancer, investigate the biological link between these conditions, and define optimal strategies to screen for and treat underlying cancer. In this review, we discuss recent data on cancer in the rheumatic diseases, and suggest a research agenda to address the many gaps in our current knowledge base.