Lung cancer is the leading cause of cancer-related death and accounts for approximately 30% of all cancer deaths. Despite the recent developments in personalized therapy, the prognosis in lung cancer is still very poor. Immunotherapy is now emerging as a new hope for patients with lung cancer. It is well known that standard chemotherapeutic regimens have devastating effects for the patient's immune system. Therefore, the aim of immunotherapy is to specifically enhance the immune response against the tumour. Recently, many trials addressed the role of such therapies for metastatic non-small cell lung cancer (NSCLC) treatment: ipilimumab, tremelimumab, nivolumab and pembrolizumab are immunotherapeutic agents of high relevance in this field. Anti-tumour vaccines, as well as dendritic cell-based therapies, have emerged as potent inducers of immune response against the tumour. Herein, we will review some of the most promising cancer immunotherapies, highlighting their advantages and try to understand, in an immunological perspective, the missteps associated with the current treatments for cancer.