Immunotherapy has revolutionized the treatment paradigm of non-small cell lung cancer and improved patients’ prognosis. Immune checkpoint inhibitors have quickly become standard frontline treatment for metastatic non-oncogene addicted disease, either as a single agent or in combination strategies. However, only a few patients have long-term benefits, and most of them do not respond or develop progressive disease during treatment. Thus, the identification of reliable predictive and prognostic biomarkers remains crucial for patient selection and guiding therapeutic choices. In this review, we provide an overview of the current strategies, highlighting the main clinical challenges and novel potential biomarkers.