Background. Lung cancer is the most important cause of cancer mortality worldwide, but the underlying mechanisms of this disease are not fully understood. Copy number variations (CNVs) are promising genetic variations to study because of their potential effects on cancer. Methodology/Principal Findings. Here we conducted a pilot study in which we systematically analyzed the association of CNVs in two lung cancer datasets: the Environment And Genetics in Lung cancer Etiology (EAGLE) and the Prostate, Lung, Colorectal and Ovarian (PLCO) Cancer Screening Trial datasets. We used a preestablished association method to test the datasets separately and conducted a combined analysis to test the association accordance between the two datasets. Finally, we identified 167 risk SNP loci and 22 CNVs associated with lung cancer and linked them with recombination hotspots. Functional annotation and biological relevance analyses implied that some of our predicted risk loci were supported by other studies and might be potential candidate loci for lung cancer studies. Conclusions/Significance. Our results further emphasized the importance of copy number variations in cancer and might be a valuable complement to current genome-wide association studies on cancer.