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Lung cancer remains a leading cause of global cancer-related mortality, with most patients diagnosed at advanced stages. The emergence of immune checkpoint inhibitors (ICIs), specifically targeting PD-1/PD-L1 and CTLA-4 pathways, has revolutionized the treatment landscape by restoring anti-tumor immune responses. Currently, ICIs are integrated into clinical practice across all stages of lung cancer, administered either as monotherapy or in combination with chemotherapy, radiotherapy, and anti-angiogenic agents. Despite significant survival benefits, several critical challenges persist. First, primary and acquired resistance, driven by tumor microenvironment (TME) immunosuppression, impaired antigen presentation, and aberrant signaling, limits long-term efficacy. Second, existing biomarkers like PD-L1 expression and tumor mutational burden (TMB) face limitations due to insufficient standardization and spatiotemporal heterogeneity. Furthermore, immune-related adverse events (irAEs) across multiple organ systems necessitate vigilant clinical management and occasionally treatment discontinuation. This review systematically evaluates the research progress and clinical applications of ICI therapy in lung cancer. We highlight the therapeutic heterogeneity observed across different histological types, including non-small cell lung cancer (NSCLC) and small cell lung cancer (SCLC), with a specific focus on the management of brain metastases (BMs). Additionally, the article discusses varying response patterns within specific patient subgroups, such as geriatric patients and individuals with differing smoking or performance statuses. By synthesizing data on both favorable therapeutic outcomes and the spectrum of irAEs, we emphasize the necessity of personalized immunotherapy. Ultimately, this review looks forward to future advancements aimed at enhancing the precision and safety of lung cancer treatment, providing a roadmap for more tailored clinical interventions.