Lung cancer is a frequent cause of cancer-related deaths in the world. There is no valid screening process and this limits its detection to the late stages, with consequently high mortality rates. Volatile organic compounds (VOC) are chemical compounds (mainly the products of cell catabolism) found as gases in the human breath. Different methods have been developed to analyse VOCs and to compare them in healthy subjects and lung cancer patients. In this review, we summarise the different techniques used to analyse VOC. Many reports have been published with promising results similar to those achieved with accepted screening methods such as mammography. These methods show good perspectives on lung cancer screening.