Lipoproteins are responsible for lipid packaging and transport through the bloodstream, and for their delivery to target tissues. Their participation in process, such as inflammation and innate immunity has also been suggested recently. Lipoprotein particles have very complex biochemical structures, which result from intricate processes involving coordinated mechanisms of protein and lipid synthesis, intracellular assembling and trafficking, and intra- and extracellular metabolism. Alterations in these mechanisms cause several negative effects on human health. The ability of current proteomic approaches to dissect the dynamic nature of complex particles revealing protein composition and post-translational modifications is shedding further light on lipoprotein structures and functions. This review summarizes lipoprotein classification, biogenesis and metabolism as well as discussing how the results of 20 proteomics-based reports integrate our knowledge on both their biochemical composition and their effects on target cells, thus contributing to reveal the possible functions.