Computed tomography (CT)-guided lung biopsy is one of the oldest and most widely known minimally invasive percutaneous procedures. Despite being conceptually simple, this procedure needs to be performed rapidly and can be subject to meaningful complications that need to be managed properly. Therefore, knowledge of principles and techniques is required by every general or interventional radiologist who performs the procedure. This review aims to contain all the information that the operator needs to know before performing the procedure. The paper starts with the description of indications, devices, and types of percutaneous CT-guided lung biopsies, along with their reported results in the literature. Then, pre-procedural evaluation and the practical aspects to be considered during procedure (i.e., patient positioning and breathing) are discussed. The subsequent section is dedicated to complications, with their incidence, risk factors, and the evidence-based measures necessary to both prevent or manage them; special attention is given to pneumothorax and hemorrhage. After conventional CT, this review describes other available CT modalities, including CT fluoroscopy and cone-beam CT. At the end, more advanced techniques, which are already used in clinical practice, like fusion imaging, are included.