For more information regarding BMS clinical trial participation, please visit www.BMSStudyConnect.com Inclusion Criteria: - Newly diagnosed and confirmed Stage IIIB/IV NSCLC - Previously treated NSCLC with asymptomatic brain metastases (eligible for Arm M) See additional details below - Men and women aged ≥18 years - Eastern Cooperative Oncology Group (ECOG) performance status of 0 to 1 - Subject must be chemotherapy naive (except Arm D, K, L and M). Prior use of epidermal growth factor receptor (EGFR) tyrosine kinase inhibitor (TKI) is acceptable. For Arms D, K, and L, subjects must be non-progressors within 42 days after completion of first-line treatment with ≥4 cycles of Platinum Doublet chemotherapy with or without Bevacizumab. See below for Arm M - Either a formalin fixed tissue block or a minimum of 10 slides of tumor sample (archived or fresh) must be available for biomarker evaluation (a local pathologist must review for adequacy of sampling) - Life expectancy of at least 3 months - Prior radiotherapy must have been completed at least 2 weeks prior to study entry For Arm M: - No more than 4 brain metastases - Each brain metastases ≤3 cm in size - No evidence of cerebral edema - Subjects must be free of neurologic symptoms related to metastatic brain lesions and must not have required or received systemic corticosteroids for ≥10 days prior to initiation of study treatment - At least 1 measurable target brain lesion >0.5 cm and no larger than 3 cm in diameter and/or 2 measurable brain target lesions >0.3 cm - No prior radiation therapy, surgery, or other local therapy for target brain lesions - Must have received at least one prior systemic anticancer therapy for NSCLC Exclusion Criteria: - Subjects with symptomatic brain metastases, spinal cord compression, or intractable back pain due to a compressive or destructive mass - Subjects who require emergent use of systemic steroids, emergent surgery and/or radiotherapy - Any active or history of a known autoimmune disease - Subjects with previous malignancies (except non-melanoma skin cancers, in situ bladder cancer, gastric, or colon cancers or cervical cancers/dysplasia, or breast carcinoma in situ) are excluded unless a complete remission was achieved at least 2 years prior to study entry and no additional therapy is required or anticipated to be required during the study period - History of Grade ≥2 neuropathy - Subjects with interstitial lung disease that is symptomatic or may interfere with the detection or management of suspected drug-related pulmonary toxicity