This is a dose escalation and efficacy study of arsenic trioxide. In the efficacy study, patients are stratified according to diagnosis (acute myelogenous leukemia vs acute lymphocytic leukemia vs myelodysplastic syndrome vs multiple myeloma vs non-Hodgkin's lymphoma and Hodgkin's disease). Phase I: Patients receive arsenic trioxide IV over 2 hours daily for 28 days. Treatment repeats every 42-59 days in the absence of disease progression or unacceptable toxicity. Patients who achieve complete remission (CR) or partial remission (PR) receive up to 4 courses. Patients who fail to achieve CR or PR or who experience disease progression may receive arsenic trioxide and tretinoin daily for 28 days every 42-59 days for up to 7 courses. Patients who fail to achieve CR or PR or experience disease progression with arsenic trioxide and tretinoin are removed from study. Cohorts of 3-6 patients receive escalating doses of arsenic trioxide until the maximum tolerated dose (MTD) is determined. The MTD is defined as the dose preceding that at which 2 of 6 patients experience dose limiting toxicities. Phase II: Patients receive the MTD of arsenic trioxide as in phase I for up to 7 courses. Patients who fail to achieve CR or PR after 3 courses or experience disease progression are either taken off study or treated with arsenic trioxide and tretinoin as in phase I. Patients are followed monthly for 6 months, and then every 3 months for 18 months.