With the advent of immunotherapy, the life expectancy of patients with advanced non-small cell lung cancer (NSCLC) is dramatically improved. As described in the most recent clinical trials, the addition of immunotherapy to the available therapeutic strategies, restoring an efficient immune response against neoplasms and establishing an immunological memory, is able to improve both patient's survival and quality of life. This paved the way for new therapeutic algorithms, new combination strategies, as well as the possible use of adoptive immunotherapy. Although the use of immunotherapy is now widely employed in the different phases of lung cancer, we have not yet fully understood what are both the actual mechanisms of action and resistance to checkpoint inhibitors, predictive factors of response, immuno-related response criteria, and interferences between immunotherapy and tumor microenvironment, as well as angiogenesis and its interactions with conventional therapies, such as chemotherapy. The objective of this critical review is to frame the relevant results obtained with immunotherapy in NSCLC, providing insights to help overcome decision-making for a better therapeutic choice. In addition, returning to the study of pulmonary physiology and preclinical data, we will address the new issues on the heterogeneity of response to anti-PD1/anti-PD-L1, including their combinations, in NSCLC. Moreover, to date, we are facing with patterns of response different from those previously seen with cytotoxic or target therapies. Indeed, different radiological evaluation criteria have been proposed to evaluate response to immunotherapy and further efforts are needed to identify a unique system of evaluation and other than PDL1 biomarkers, to integrate radiology in the assessment of response.