Lung cancer is the leading cause of cancer death in both men and women in the United States, and male Veterans seeking care at VA hospitals have a much higher age-specific incidence of lung cancer than males in the general population. The personal and economic significance of lung cancer has led to a vast research endeavor to try and identify new and more effective treatments. Most patients with lung cancer are diagnosed when the cancer is already advanced (stage IIIB or IV), and they are no longer candidates for surgical resection. Small cell lung cancer and non-small cell lung cancer (NSCLC) are different diseases in terms of treatment. Until recently, all therapies for advanced NSCLC were based on their cytotoxic properties. In the last few years, several novel agents aimed at specific molecular targets have been developed. This review was requested to evaluate the current evidence on the effectiveness and cost-effectiveness of treatments for advanced lung cancer.