Lung cancer is a leading cause of cancer-related death worldwide and in most cases, diagnosis is reached when the tumor has already spread and prognosis is quite poor. For that reason, the research for new biomarkers that could improve early diagnosis and its management is essential. Exosomes are microvesicles actively secreted by cells, especially by tumor cells, hauling molecules that mimic molecules of the producing cells. There are multiple methods for exosome isolation and analysis, although not standardized, and cancer exosomes from biological fluids are especially difficult to study. Exosomes’ cargo proteins, RNA, and DNA participate in the communication between cells, favoring lung cancer development by delivering signals for growth, metastasis, epithelial mesenchymal transition, angiogenesis, immunosuppression and even drug resistance. Exosome analysis can be useful as a type of liquid biopsy in the diagnosis, prognosis and follow-up of lung cancer. In this review, we will discuss recent advances in the role of exosomes in lung cancer and their utility as liquid biopsy, with special attention to isolating methods.