Immunotherapy of cancer encompasses different strategies that elicit or enhance the immune response against tumors. The first results from clinical studies have provided promising data for the treatment of lung cancer patients with immunomodulating monotherapies. To improve the potential benefit of cancer immunotherapy, synergistic combinations of the various immunotherapy approaches or of different elements within each of the immunotherapy approaches are being explored. The rationale typically involves different but complementary mechanisms of action, eventually impinging on more than one immune system mechanism. As a prominent example, the simultaneous blockade of PD-1 and CTLA-4 is giving rise to therapeutic synergy, while still offering room for efficacy improvement. Moreover, combinations of immunomodulating agents with chemotherapy or targeted molecules are being tested. Animal models suggest that immunotherapies in combination with these various options offer evidence for synergistic effects and are likely to radically change cancer treatment paradigms. However, data obtained so far indicate that toxic side effects are also potentiated, which may even restrict the selection of patients that are suitable for these combinational approaches. Advancing the field of combinatorial immunotherapy will require changes in the way investigational agents are clinically developed as well as novel experimental end-points for efficacy evaluation. However, this combined therapeutic manipulation of both tumor and stromal cells may lead to a dramatic change in the therapeutic options of lung cancer patients in any disease stage that can only grossly be appreciated by the current studies.