Early detection of lung cancer usually markedly increases the efficiency of therapy. However, the currently employed diagnostic approaches are not sufficiently effective, resulting in late detection of the disease and high patient mortality. Therefore, development of a high-throughput and reliable diagnostic method is a priority task requiring fast solution. Analysis of exhaled air for a number of organic compounds recognized as lung cancer biomarkers seems to be a promising approach for early diagnosis of the disease. This issue attracts growing interest, as indicated by increasing number of publications on this topic. This review surveys contemporary analytical techniques for analysis of exhaled air, including various spectroscopic and mass spectral methods and also gas sensor-based methods. The key benefits and shortcomings of the techniques, sample injection and pre-concentration methods, and the potential applicability of the methods for lung cancer detection are discussed. The prospects of simultaneous application of several analytical techniques and approaches for the early diagnosis are demonstrated. The bibliography includes 147 references.