Lung cancer, including non-small cell lung carcinoma (NSCLC), is the most frequently diagnosed cancer. It is also the leading cause of cancer-related mortality worldwide because of its late diagnosis and its resistance to therapies. Therefore, the identification of biomarkers for early diagnosis, prognosis, and monitoring of therapeutic response is urgently needed. Liquid biopsies, especially blood, are considered as promising tools to detect and quantify circulating cancer biomarkers. Cell-free circulating tumor DNA has been extensively studied. Recently, the possibility to detect and quantify RNAs in tumor biopsies, notably circulating cell-free RNAs, has gained great attention. RNA alternative splicing contributes to the proteome diversity through the biogenesis of several mRNA splice variants from the same pre-mRNA. Circular RNA (circRNA) is a new class of RNAs resulting from pre-mRNA back splicing. Owing to the development of high-throughput transcriptomic analyses, numerous RNA splice variants and, more recently, circRNAs have been identified and found to be differentially expressed in tumor patients compared to healthy controls. The contribution of some of these RNA splice variants and circRNAs to tumor progression, dissemination, or drug response has been clearly demonstrated in preclinical models. In this review, we discuss the potential of circRNAs and mRNA splice variants as candidate biomarkers for the prognosis and the therapeutic response of NSCLC in liquid biopsies.