Chemoimmunotherapy is currently the preferred first-line treatment option for the majority of patients with advanced non-small cell lung cancer without driver genetic alterations. Most of these patients, however, will experience disease progression within the first year after treatment initiation and both patients and their physicians will be confronted with the dilemma of the optimal second-line treatment. Identification of molecular targets, such as KRASG12C, BRAFV600X, METexon14, and human epidermal growth factor receptor 2 mutations, and RET rearrangements offer therapeutic opportunities in pretreated patients with corresponding alterations. For those tumors that do not harbor oncogenic drivers, second-line treatment with docetaxel remains the current standard of care despite modest efficacy. Strategies to challenge docetaxel include the combination of immune checkpoint inhibitors (ICIs) with tyrosine inhibitors of multiple kinases or with DNA damage response inhibitors, antibody-drug conjugates, and locoregional treatments for oligoprogressive disease. Next-generation immunotherapy strategies, such as T-cell engagers, immune-mobilizing monoclonal T-cell receptors, chimeric antigen receptor cell therapy, tumor infiltrating lymphocytes, and T-cell receptor cell therapy are being currently investigated in the quest to reverse resistance to ICIs. Importantly, the advent of these new agents heralds a novel spectrum of toxicities that require both the physician's and the patient's education. Herein, we review current and future strategies aiming to outperform docetaxel after chemoimmunotherapy failure, and we provide practical information on how to best communicate to our patients the unique toxicity aspects associated with immunotherapy.