Immunotherapy is the name for methods of trying to retrain the immune system to not be allergic any more. For some allergies, eg milk and egg, you can do this by carefully introducing a small amount of the food (when advised to do so) and then gradually building up the amount given as your body gets more used to it.
This is not something that we do for all allergies, as there is a risk of causing reactions.
For moderate to severe bee/wasp allergy, treatment with a course of venom injections is proven to work but is not available everywhere.
For hayfever, Grazax tablets are available that you dissolve under the tongue every day for 4 months before the hay fever season, and you may not get any benefit until the following year. These are currently only available in individual, particularly severe cases in the NHS in Scotland.
Allergy specialists in Cambridge managed to reduce the likelihood of allergic reactions in 21 out of 23 peanut allergic children with small daily doses of peanut flour over a 1 year period. A bigger study is now in progress to find out if this treatment has longer term benefit. There is similar research going on in the United States. So far this treatment can only be offered in research studies.