Lung cancer remains the most common cause of cancer death. Given the continued research into new drugs and combination therapies, outcomes in lung cancer have been improved, and clinical benefits have been expanded to a broader patient population. However, the overall cure and survival rates for lung cancer patients remain low, especially in metastatic cases. Among the available lung cancer treatment options, such as surgery, radiation therapy, chemotherapy, targeted therapies, and alternative therapies, immunotherapy has shown to be the most promising. The exponential progress in immuno-oncology research and recent advancements made in the field of immunotherapy will further increase the survival and quality of life for lung cancer patients. Substantial progress has been made in targeted therapies using tyrosine kinase inhibitors and monoclonal antibody immune checkpoint inhibitors with many US Food And Drug Administration (FDA)-approved drugs targeting the programmed cell death ligand-1 protein (e.g., durvalumab, atezolizumab), the programmed cell death-1 receptor (e.g., nivolumab, pembrolizumab), and cytotoxic T-lymphocyte-associated antigen 4 (e.g., tremelimumab, ipilimumab). Cytokines, cancer vaccines, adoptive T cell therapies, and Natural killer cell mono- and combinational therapies are rapidly being studied, yet to date, there are currently none that are FDA-approved for the treatment of lung cancer. In this review, we discuss the current lung cancer therapies with an emphasis on immunotherapy, including the challenges for future research and clinical applications.