The diffractive program of the CDF Collaboration at the Fermilab Tevatron p anti-p Collider is reviewed with emphasis on recent results from Run II at s**(1/2) = 1.96 TeV. Updated results on the X_Bj and Q2 dependence of the diffractive structure function obtained from dijet production, and on the slope parameter of the t-distribution of diffractive events as a function of Q2 in the range 1 GeV2 < Q2 < 104 GeV2, are presented and compared with theoretical expectations. Results on cross sections for exclusive dijet and diphoton production are also presented and used to calibrate theoretical estimates for exclusive Higgs production at the Large Hadron Collider.