Anemia is highly prevalent in patients with lung cancer, often occurring at baseline and frequently exacerbated as a result of treatment with platinum-based chemotherapy. Anemia has been shown to have a negative effect on quality of life in patients with lung cancer, and additional data indicate that decreases in hemoglobin in these patients are associated with impaired survival. Multiple clinical studies have demonstrated that treatment of anemia with erythropoietic agents in patients with lung cancer results in a significant increase in hemoglobin, decrease in transfusions, and improvement in quality of life. Ongoing research is evaluating whether erythropoietic therapy can reduce cognitive impairment associated with lung cancer, cytotoxic therapy, and anemia. Despite the known adverse effects of anemia and the established benefits of erythropoietic therapy in anemic patients with lung cancer, more than half of these patients do not receive any anemia treatment. The purpose of this review is to report results of the European Cancer Anaemia Survey that describe the prevalence of anemia in patients with lung cancer, to review the major studies evaluating the clinical outcomes of erythropoietic therapy in patients with lung cancer, to discuss the recent safety concerns regarding the use of erythropoietic agents in patients with cancer treated to high hemoglobin levels, and to describe various novel therapeutic applications of erythropoietic agents in lung cancer.