According to data from the World Health Organization (WHO), lung cancer is becoming a global epidemic. It is particularly high in the list of the leading causes of death not only in developed countries, but also worldwide; furthermore, it holds the leading place in terms of cancer-related mortality. Nevertheless, many breakthroughs have been made the last two decades regarding its management, with one of the most prominent being the implementation of artificial intelligence (AI) in various aspects of disease management. We included 473 papers in this thorough review, most of which have been published during the last 5–10 years, in order to describe these breakthroughs. In screening programs, AI is capable of not only detecting suspicious lung nodules in different imaging modalities—such as chest X-rays, computed tomography (CT), and positron emission tomography (PET) scans—but also discriminating between benign and malignant nodules as well, with success rates comparable to or even better than those of experienced radiologists. Furthermore, AI seems to be able to recognize biomarkers that appear in patients who may develop lung cancer, even years before this event. Moreover, it can also assist pathologists and cytologists in recognizing the type of lung tumor, as well as specific histologic or genetic markers that play a key role in treating the disease. Finally, in the treatment field, AI can guide in the development of personalized options for lung cancer patients, possibly improving their prognosis.