Advanced lipoxidation end products (ALEs) and advanced glycation end products (AGEs) have a pathogenetic role in the development and progression of different oxidative-based diseases including diabetes, atherosclerosis, and neurological disorders. AGEs and ALEs represent a quite complex class of compounds that are formed by different mechanisms, by heterogeneous precursors and that can be formed either exogenously or endogenously. There is a wide interest in AGEs and ALEs involving different aspects of research which are essentially focused on set-up and application of analytical strategies (1) to identify, characterize, and quantify AGEs and ALEs in different pathophysiological conditions; (2) to elucidate the molecular basis of their biological effects; and (3) to discover compounds able to inhibit AGEs/ALEs damaging effects not only as biological tools aimed at validating AGEs/ALEs as drug target, but also as promising drugs. All the above-mentioned research stages require a clear picture of the chemical formation of AGEs/ALEs but this is not simple, due to the complex and heterogeneous pathways, involving different precursors and mechanisms. In view of this intricate scenario, the aim of the present review is to group the main AGEs and ALEs and to describe, for each of them, the precursors and mechanisms of formation.