Immunotherapy with antibodies against PD-1 or PD-L1, either alone or in combination with chemotherapy, has revolutionized treatment paradigms of non-small cell lung cancer (NSCLC) patients without oncogenic driver alterations. These agents, namely immune checkpoint inhibitors (ICIs), have also widely demonstrated a remarkable efficacy in locally advanced as well as in early-stage NSCLC. Assessment of tumor PD-L1 expression by immunohistochemistry has entered into routine clinical practice to select patients for immunotherapy, even though its predictive role has long been debated. Despite improved survival outcomes over standard chemotherapy, treatment with ICIs is associated with initial low response rate, with a significant proportion of patients not responding to these agents. Hence, novel appealing predictive biomarkers, such as those related to tumor cell signaling pathways, metabolism or the tumor microenvironment, have emerged as potentially useful to select those patients most likely to benefit from immunotherapy. Moreover, most patients ultimately develop acquired resistance to ICI treatment over time and novel therapeutic strategies are urgently needed to overcome or delay resistance. Herein, we provide an overview on recent advances in immunotherapy in NSCLC, focusing on updated results from studies on ICIs in different disease settings and at different lines of treatment. We further describe currently emerging predictive biomarkers, beyond PD-L1, to optimize patient selection and novel strategies to improve clinical outcomes.