In the last decade, immunotherapy has been one of the most important advances in the non-small cell lung cancer (NSCLC) treatment landscape. Nevertheless, only a subset of NSCLC patients benefits from it. Currently, the only Food and Drug Administration (FDA) approved diagnostic test for first-line immunotherapy in metastatic NSCLC patients uses tissue biopsies to determine the programmed death ligand 1 (PD-L1) status. However, obtaining tumor tissue is not always feasible and puts the patient at risk. Liquid biopsy, which refers to the tumor-derived material present in body fluids, offers an alternative approach. This less invasive technique gives real-time information on the tumor characteristics. This review addresses different promising liquid biopsy based biomarkers in NSCLC patients that enable the selection of patients who benefit from immunotherapy and the monitoring of patients during this therapy. The challenges and the opportunities of blood-based biomarkers such as cell-free DNA (cfDNA), circulating tumor cells (CTCs), exosomes, epigenetic signatures, microRNAs (miRNAs) and the T cell repertoire will be addressed. This review also focuses on the less-studied feces-based and breath-based biomarkers.