Lung cancer is a common neoplasm, usually treated through chemotherapy, radiotherapy and/or surgery. Both clinical and experimental studies on cancer cells suggest that some drugs (e.g., statins) have the potential to improve the prognosis of cancer. In fact, statins blocking the enzyme “hydroxy-3-methylglutaryl-coenzyme A reductase” exert pleiotropic effects on different genes involved in the pathogenesis of lung cancer. In this narrative review, we presented the experimental and clinical studies that evaluated the effects of statins on lung cancer and described data on the effectiveness and safety of these compounds. We also evaluated gender differences in the treatment of lung cancer to understand the possibility of personalized therapy based on the modulation of the mevalonate pathway. In conclusion, according to the literature data, statins exert multiple effects on lung cancer cells, even if the evidence for their use in clinical practice is lacking.