Pulmonary cytology is a challenging diagnostic tool, and it is usually evaluated considering medical history and radiological findings in order to reach an accurate diagnosis. Since the majority of lung cancer patients have an advanced stage at diagnosis, a cytological specimen is frequently the only material available for diagnosis and further prognostic/predictive marker determination. Several types of specimens can be obtained from the respiratory system (including sputum, bronchoalveolar lavage, bronchial brushing, fine needle aspiration, and pleural fluid) with different technical preclinical management protocols and different diagnostic yields. Immunocytochemistry (ICC) has a pivotal role in the determination of diagnostic, prognostic, and predictive markers. Therefore, limited cytology samples are to be used with a cell-sparing approach, to allow both diagnostic ICC evaluation as well as predictive marker assessment by ICC or specific molecular assays. In this review, we describe the most common ICC markers used for the diagnosis and prognostic/predictive characterization of thoracic tumors in different cytological specimens.