Monoclonal Antibody Therapy in Treating Patients With Ovarian Epithelial Cancer, Melanoma, Acute Myeloid Leukemia, Myelodysplastic Syndrome, or Non-Small Cell Lung Cancer

Inclusion Criteria: Patients previously vaccinated with GM-CSF-based vaccines using lethally irradiated, autologous melanoma, ovarian cancer, acute myelogenous leukemia/myelodysplasia, or non-small cell lung cancer cells; patients with acute myelogenous leukemia/myelodysplasia or non-small cell lung cancer who have not been vaccinated with an autologous, GM-CSF based vaccine >= 4 weeks since treatment (chemo-, radiation, hormone, immuno-, etc., therapy) Patients must have recovered from any acute toxicity associated with prior therapy Measurable epithelial ovarian cancer, melanoma, AML/MDS, or non-small cell lung cancer No standard curative treatment options Not require immediate palliative therapy Patients with epithelial ovarian cancer must have persistent or recurrent disease following primary surgery and primary chemotherapy Patients with melanoma must be stage IV disease Patients with AML/MDS, but without MDS, must be: a) in second relapse or b) first relapse with no option for bone marrow transplant or c) not a candidate for immunosuppressive chemotherapy due to age or comorbid disease Patients with non-small cell lung cancer must be not curable by standard surgery, chemotherapy, and/or radiation Life expectancy >= 12 weeks ECOG performance status of 0, 1 or 2 Written informed consent Due to the unknown effects of MDX-CTLA-4 on the fetus or nursing infant, pregnant or nursing women should not be included; women should be either: post-menopausal for at least 1 year; surgically incapable of bearing children; or utilizing an intrauterine device, and/or spermicide and barrier, for contraception; during the study, use of oral contraception alone is not acceptable; women of childbearing potential must have a negative serum beta-HCG pregnancy test conducted during screening, and a negative urinary beta-HCG pregnancy test conducted within 24 hours prior to treatment; due to the unknown effects of MDX-CTLA-4 on the fetus, men should not father children during the study WBC > 1,000 cells/mm^3 (except for AML/MDS patients) Serum creatinine < 2 mg/dL Platelets > 75,000 cells/mm^3 (except for AML/MDS patients) AST and ALT < 2 x UNL Total bilirubin < 2 x UNL Exclusion Criteria: Active infection Autoimmune disease requiring immunosuppressive treatment Any underlying medical condition which, in the principal investigator's opinion, will make the administration of study drug hazardous or obscure the interpretation of adverse events Any concurrent medical condition requiring the use of systemic steroids (use of inhaled or topical steroids is acceptable) CNS metastases, unless previously treated and stable for at least three months Patients who have received prior treatment with MDX-CTLA-4