Lung cancer is the leading cause of cancer-associated death worldwide. Traditionally, lung cancer is classified into non-small cell lung cancer (NSCLC) and small cell lung cancer (SCLC). While the prognosis of metastatic SCLC has remained dismal, the outcome of advanced NSCLC has improved over the last decades mainly by the improved molecular characterization of the disease and the introduction of targeted therapies in well-defined subpopulations. However, even in localized or locally advanced lung cancer many patients eventually have a relapse and will die of their disease. Therefore, novel treatment approaches are urgently needed. Lung cancer is generally characterized by high frequencies of genetic and epigenetic alterations resulting in tumor-associated antigens which are potential targets of cytotoxic T cells. Immune checkpoint inhibitors (ICIs) have shown to re-activate and improve this specific T cell response. Several clinical trials have demonstrated meaningful response rates, sustained clinical benefit with encouraging survival rates and good tolerability in advanced NSCLC and have established ICIs as a new standard of care in different indications. This article summarizes the current evidence for ICIs in early and advanced NSCLC as well as in SCLC. Furthermore, current data and ongoing clinical trials on combination therapies are discussed as well as challenges of immunotherapy in lung cancer patients.