Antiretroviral therapy (ART) represents a significant milestone in the battle against AIDS. However, we continue learning about HIV and confronting challenges 30 years after its discovery. HIV has cleverly tricked both the host immune system and ART. First, the many HIV subtypes and recombinant forms have different susceptibilities to antiretroviral drugs, which may represent an issue in countries where ART is just being introduced. Second, even under the suppressive pressures of ART, HIV still increases inflammatory mediators, deregulates apoptosis and proliferation, and induces oxidative stress in the host. Third, the preference of HIV for CXCR4 as a co-receptor may also have noxious outcomes, including potential malignancies. Furthermore, HIV still replicates cryptically in anatomical reservoirs, including the lung. HIV impairs bronchoalveolar T-lymphocyte and macrophage immune responses, rendering the lung susceptible to comorbidities. In addition, HIV-infected individuals are significantly more susceptible to long-term HIV-associated complications. This review focuses on chronic obstructive pulmonary disease (COPD), pulmonary arterial hypertension, and lung cancer. Almost two decades after the advent of highly active ART, we now know that HIV-infected individuals on ART live as long as the uninfected population. Fortunately, its availability is rapidly increasing in low- and middle-income countries. Nevertheless, ART is not risk-free: the developed world is facing issues with antiretroviral drug toxicity, resistance, and drug-drug interactions, while developing countries are confronting issues with immune reconstitution inflammatory syndrome. Several aspects of the complexity of HIV persistence and challenges with ART are discussed, as well as suggestions for new avenues of research.