The pathophysiologic understanding of chronic heart failure has made significant advances over the last decades. Counterintuitively, high levels of plasma cholesterol are associated with better survival, perhaps because plasma lipoproteins are able to scavenge lipopolysaccharide, a cell-wall component from gram-negative bacteria. A number of similar features are present in patients who have sepsis. This article explores the cholesterol paradox in patients who have chronic heart failure and extends this view to patients who have sepsis. Also discussed is the potential of statins, which might be able to exert beneficial effects in both clinical conditions, despite lowering plasma cholesterol values.