The conversion of lignocellulosic agricultural waste into biofuels and other economically valuable compounds can reduce dependence on fossil fuels, reduce harmful gas emissions, support the sustainability of natural resources, including water, and minimize the amount of waste in landfills, thus reducing environmental degradation. In this paper, the conversion of agricultural wastes into biomethane, biohydrogen, biodiesel, bioethanol, biobutanol, and bio-oil is reviewed, with special emphasis on primary and secondary agricultural residues as substrates. Some novel approaches are mentioned that offer opportunities to increase the efficiency of waste valorization, e.g., hybrid systems. In addition to physical, chemical, and biological pretreatment of waste, some combined methods to mitigate the negative effects of various recalcitrant compounds on waste processing (alkali-assisted thermal pretreatment, thermal hydrolysis pretreatment, and alkali pretreatment combined with bioaugmentation) are evaluated. In addition, the production of volatile fatty acids, polyhydroxyalkanoates, biochar, hydrochar, cellulosic nanomaterials, and selected platform chemicals from lignocellulosic waste is described. Finally, the potential uses of biofuels and other recovered products are discussed.