Inclusion Criteria:  Patients must have histologically confirmed locally advanced or metastatic melanoma and be starting on standard of care pembrolizumab monotherapy. Patients may have received any or no prior anti-cancer therapy without limitation. Must have one or more sites of disease amenable to biopsy (tumor, skin, lymph node, pleural fluid, peritoneal fluid, cerebral spinal fluid (CSF)). Have measurable disease based on Response Evaluation Criteria in Solid Tumors (RECIST) version 1.1. Lesions situated in a previously irradiated area are considered measurable if progression has been demonstrated in such lesions. Participants must be age 18 years or older on the day of signing informed consent. Have the ability to provide written informed consent for the trial. Be able and willing to comply with study procedures including provision of basic demographic information and medical history. Be willing to receive periodic follow up phone calls to monitor health status and survival status.  Exclusion Criteria:  Has received prior therapy with an anti-PD-1, anti-PD-L1, or anti PD L2 agent or with an agent directed to another stimulatory or co-inhibitory T-cell receptor (e.g., cytotoxic T-lymphocyte-associated protein 4 (CTLA-4), OX 40, Cluster of Differentiation 137 (CD137)). Has received prior systemic anti-cancer therapy including investigational agents within the prior 2 weeks. Has a diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy (in dosing exceeding 10 mg daily of prednisone equivalent) or any other form of immunosuppressive therapy within 7 days prior to the first dose of study drug. Has a contraindication to tissue biopsy for minimally-invasive research-procedure Contraindication to phlebotomy (up to 20 milliliters (mL)) per phlebotomy every three weeks).