Immunotherapy is changing the treatment of non-small cell lung cancer (NSCLC). The PD-1 inhibitor nivolumab has demonstrated meaningful results in terms of efficacy with a good safety profile. The novel approach to treating NSCLC using immunotherapy still has unsolved questions and challenging issues. The main doubts regarding the optimal selection of the patient are the role of this drug in first line of treatment, the individualization of the correct methodology of radiologic assessment and efficacy analysis, the best management of immune-mediated adverse events, and how to overcome the immunoresistance. The aim of this review is to analyze literature data on nivolumab in lung cancer with a focus on critical aspects related to the drug in terms of safety, the use in clinical practice, and possible placement in the treatment algorithm.