Immune checkpoint inhibitors (ICI) have revolutionized the management of locally advanced and advanced non-small lung cancer (NSCLC). With an improvement in the overall survival (OS) as both first- and second-line treatments, ICIs, and especially programmed-death 1 (PD-1) and programmed-death ligands 1 (PD-L1), changed the landscape of thoracic oncology. The PD-L1 level of expression is commonly accepted as the most used biomarker, with both prognostic and predictive values. However, even in a low expression level of PD-L1, response rates remain significant while a significant number of patients will experience hyperprogression or adverse events. The dentification of such subtypes is thus of paramount importance. While several studies focused mainly on the prediction of the PD-L1 expression status, others aimed directly at the development of prediction/prognostic models. The response to ICIs depends on a complex physiopathological cascade, intricating multiple mechanisms from the molecular to the macroscopic level. With the high-throughput extraction of features, omics approaches aim for the most comprehensive assessment of each patient. In this article, we will review the place of the different biomarkers (clinical, biological, genomics, transcriptomics, proteomics and radiomics), their clinical implementation and discuss the most recent trends projecting on the future steps in prediction modeling in NSCLC patients treated with ICI.