Sex disparities in the incidence and mortality of lung cancer have been observed since cancer statistics have been recorded. Social and economic differences contribute to sex disparities in lung cancer incidence and mortality, but evidence suggests that there are also underlying biological differences that contribute to the disparity. This review summarizes biological differences which could contribute to the sex disparity. Sex hormones and other biologically active molecules, tumor cell genetic differences, and differences in the immune system and its response to lung cancer are highlighted. How some of these differences contribute to disparities in the response to therapies, including cytotoxic, targeted, and immuno-therapies, is also discussed. We end the study with a discussion of our perceived future directions to identify the key biological differences which could contribute to sex disparities in lung cancer and how these differences could be therapeutically leveraged to personalize lung cancer treatment to the individual sexes.