Cost of illness (COI) studies estimate the overall economic burden of a specific disease, rather than simply treatment-related costs. While having been criticised for not allowing resource prioritisation, COI studies can provide useful guidance, so long as they adhere to accepted methodology. The aim of this review is to analyse the methods used to evaluate the cost of lung cancer. Because of the increasing incidence and high direct and indirect costs of lung cancer, it is an important disease in terms of economic implications, and therefore provides a relevant example with which to review COI study methodologies. First, the key points of the methodology relating to COI studies were identified. COI studies relating to lung cancer were then reviewed, focussing on an analysis of the different methods used and an identification of the strengths and weaknesses of each approach. The COI studies that were analysed confirmed that lung cancer is a costly illness, and that hospitalisation and treatments account for a large part of direct costs, while indirect costs represent a large part of the total costs. The review also showed that COI studies adopted significantly different approaches to estimate the costs of lung cancer, reflecting a lack of consensus on the methodology of COI studies in this area. Hence, to increase the credibility of COI studies, closer agreement among researchers on methodological principles would be desirable.