Using biomarkers to select the most at-risk population, to detect the disease while measurable and yet not clinically apparent has been the goal of many investigations. Recent advances in molecular strategies and analytic platforms, including genomics, epigenomics, proteomics, and metabolomics, have identified increasing numbers of potential biomarkers in the blood, urine, exhaled breath condensate, bronchial specimens, saliva, and sputum, but none have yet moved to the clinical setting. Therefore, there is a recognized gap between the promise and the product delivery in the cancer biomarker field. In this review, we define clinical contexts where risk and diagnostic biomarkers may have use in the management of lung cancer, identify the most relevant candidate biomarkers of early detection, provide their state of development, and finally discuss critical aspects of study design in molecular biomarkers for early detection of lung cancer.