Patients receive NY-ESO-1 peptide vaccine mixed with BCG intradermally (ID) once weekly on weeks 1 and 2. Patients then receive NY-ESO-1 peptide mixed with sargramostim (GM-CSF) ID once weekly on day 2 of weeks 3-6. Patients also receive GM-CSF subcutaneously alone on days 1, 3, 4, and 5 of weeks 3-6. Treatment continues in the absence of disease progression or unacceptable toxicity.