Hydrogels are three-dimensional materials that can withstand a great amount of water incorporation while maintaining integrity. This allows hydrogels to be very unique biomedical materials, especially for drug delivery. Much effort has been made to incorporate hydrophilic molecules in hydrogels in the field of drug delivery, while loading of hydrophobic drugs has not been vastly studied. However, in recent years, research has also been conducted on incorporating hydrophobic molecules within hydrogel matrices for achieving a steady release of drugs to treat various ailments. Here, we summarize the types of hydrogels used as drug delivery vehicles, various methods to incorporate hydrophobic molecules in hydrogel matrices, and the potential therapeutic applications of hydrogels in cancer.