In recent years, various types of immunotherapy, particularly the use of immune checkpoint inhibitors targeting programmed cell death 1 or programmed death ligand 1 (PD-L1), have revolutionized the management and prognosis of non-small cell lung cancer. PD-L1 is frequently used as a biomarker for predicting the likely benefit of immunotherapy for patients. However, some patients receiving immunotherapy have high response rates despite having low levels of PD-L1. Therefore, the identification of this group of patients is extremely important to improve prognosis. The tumor microenvironment contains tumor, stromal, and infiltrating immune cells with its composition differing significantly within tumors, between tumors, and between individuals. The omics approach aims to provide a comprehensive assessment of each patient through high-throughput extracted features, promising a more comprehensive characterization of this complex ecosystem. However, features identified by high-throughput methods are complex and present analytical challenges to clinicians and data scientists. It is thus feasible that artificial intelligence could assist in the identification of features that are beyond human discernment as well as in the performance of repetitive tasks. In this paper, we review the prediction of immunotherapy efficacy by different biomarkers (genomic, transcriptomic, proteomic, microbiomic, and radiomic), together with the use of artificial intelligence and the challenges and future directions of these fields.