The consideration of patient preferences in decision-making has become more important, especially for life-threatening diseases such as lung cancer. This paper aims to identify the preferences of lung cancer patients with regard to their treatment and involvement in the decision-making process. We conducted a systematic literature review from 12 electronic databases and included studies published between 2000 and 2012. A total of 20 studies were included in this review. These revealed that lung cancer patients do have preferences that should be considered in treatment decisions; however, these preferences are not homogenous. We found that patients often consider life extension to be more important than the health-related quality of life or undesirable side effects. This preference seems to depend on patient age. Nausea and vomiting are the most important side effects to be avoided; the relevance of other side effects differs highly between subgroups. The majority of lung cancer patients, nevertheless, seem to prefer a passive rather than an active role in decision-making, although the self-reported preferences differed partly from the physicians' perceptions. Overall, we identified an urgent need for larger studies that are suitable for subgroup analyses and incorporate multi-attributive measurement techniques.