Lung cancer is the major leading cause of cancer-related mortality worldwide. Multiple epigenetic factors—in particular, DNA methylation—have been associated with the development of lung cancer. In this review, we summarize the current knowledge on DNA methylation alterations in lung tumorigenesis, as well as their associations with different histological subtypes, common cancer driver gene mutations (e.g., KRAS, EGFR, and TP53), and major epidemiological risk factors (e.g., sex, smoking status, race/ethnicity). Understanding the mechanisms of DNA methylation regulation and their associations with various risk factors can provide further insights into carcinogenesis, and create future avenues for prevention and personalized treatments. In addition, we also highlight outstanding questions regarding DNA methylation in lung cancer to be elucidated in future studies