This is a multi-arm, multi-cohort, Phase IIa, open-label study of selected small molecules (gefitinib, AZD9291, or selumetinib + docetaxel) or 1st IMT (hereafter referred to as IMT-A; tremelimumab) followed by sequential switch to a 2nd IMT (hereafter referred to as IMT-B; MEDI4736) in locally advanced or metastatic NSCLC (Stage IIIB-IV). Patients will be enrolled concurrently into multiple cohorts.