This study will investigate the utility of biomarker-based triage for study participants with advanced non-small cell lung cancer (NSCLC) without prior systemic therapy. Study participants within groups defined by a biomarker-based classifier (gene expression profile [GEP] and tumor mutational burden [TMB]) will be randomized to receive pembrolizumab in combination with quavonlimab (MK-1308), favezelimab (MK-4280), or lenvatinib. The primary hypotheses are as follows: In participants receiving pembrolizumab in combination with either quavonlimab, favezelimab, or lenvatinib, the Objective Response Rate (ORR) will be 1) greater than 5% among participants with low GEP and low TMB, 2) greater than 20% among participants with low GEP and high TMB, 3) greater than 20% among participants with high GEP and low TMB, and 4) greater than 45% among participants with high GEP and high TMB.