In the U.S. and Europe, the current options for the second- and third-line treatment of advanced non-small cell lung cancer (NSCLC) are cytotoxic drugs and targeted agents. Docetaxel was the first drug approved for second-line treatment after two phase III trials demonstrated its superiority over best supportive care (BSC) alone and single-agent chemotherapy. Pemetrexed was also registered for use as second-line therapy after it was demonstrated to have activity comparable with, and a more favorable toxicity profile than, docetaxel. Erlotinib, an epidermal growth factor receptor inhibitor, is the only biological agent to have been approved in the U.S. and Europe for lung cancer treatment after a study showed its superiority over BSC in recurrent (second-/third-line) NSCLC patients. This review focuses on these drugs, dealing with the results supporting the choice among docetaxel, pemetrexed, and erlotinib in second- and/or third-line treatment.