Despite the progress in the comprehension of LC progression, risk, immunologic control, and treatment choices, it is still the primary cause of cancer-related death. LC cells possess a very low and heterogeneous antigenicity, which allows them to passively evade the anticancer defense of the immune system by educating cytotoxic lymphocytes (CTLs), tumor-infiltrating lymphocytes (TILs), regulatory T cells (Treg), immune checkpoint inhibitors (ICIs), and myeloid-derived suppressor cells (MDSCs). Though ICIs are an important candidate in first-line therapy, consolidation therapy, adjuvant therapy, and other combination therapies involving traditional therapies, the need for new predictive immunotherapy biomarkers remains. Furthermore, ICI-induced resistance after an initial response makes it vital to seek and exploit new targets to benefit greatly from immunotherapy. As ICIs, tumor mutation burden (TMB), and microsatellite instability (MSI) are not ideal LC predictive markers, a multi-parameter analysis of the immune system considering tumor, stroma, and beyond can be the future-oriented predictive marker. The optimal patient selection with a proper adjuvant agent in immunotherapy approaches needs to be still revised. Here, we summarize advances in LC immunotherapy approaches with their clinical and preclinical trials considering cancer models and vaccines and the potential of employing immunology to predict immunotherapy effectiveness in cancer patients and address the viewpoints on future directions. We conclude that the field of lung cancer therapeutics can benefit from the use of combination strategies but with comprehension of their limitations and improvements.