Air pollution, especially the particulate matter 2.5 (PM2.5), has become a growing concern in recent years, primarily in urban areas. Being exposed to air pollution is linked to developing numerous health problems, like the aggravation of respiratory diseases, cardiovascular disorders, lung function impairment, and even cancer or early death. Forecasting future levels of PM2.5 has become increasingly important over the past few years, as it can provide early warnings and help prevent diseases. This paper aims to design, fine-tune, test, and evaluate machine learning models for predicting future levels of PM2.5 over various time horizons. Our primary objective is to assess and compare the performance of multiple models, ranging from linear regression algorithms and ensemble-based methods to deep learning models, such as advanced recurrent neural networks and transformers, as well as large language models, on this forecasting task.