In addition to their well-characterized roles in metabolism, lipids and lipoproteins have pleiotropic effects on the innate immune system. These undergo clinically relevant alterations during sepsis and acute inflammatory responses. High-density lipoprotein (HDL) plays an important role in regulating the immune response by clearing bacterial toxins, supporting corticosteroid release, decreasing platelet aggregation, inhibiting endothelial cell apoptosis, reducing the monocyte inflammatory response, and inhibiting expression of endothelial cell adhesion molecules. It undergoes quantitative as well as qualitative changes which can be measured using the HDL inflammatory index (HII). Pro-inflammatory, or dysfunctional HDL (dysHDL) lacks the ability to perform these functions, and we have also found it to independently predict adverse outcomes and organ failure in sepsis. Another important class of lipids known as specialized pro-resolving mediators (SPMs) positively affect the escalation and resolution of inflammation in a temporal fashion. These undergo phenotypic changes in sepsis and differ significantly between survivors and non-survivors. Certain subsets of sepsis survivors go on to have perilous post-hospitalization courses where this inflammation continues in a low grade fashion. This is associated with immunosuppression in a syndrome of persistent inflammation, immunosuppression, and catabolism syndrome (PICS). The continuous release of tissue damage-related patterns and viral reactivation secondary to immunosuppression feed this chronic cycle of inflammation. Animal data indicate that dysregulation of endogenous lipids and SPMs play important roles in this process. Lipids and their associated pathways have been the target of many clinical trials in recent years which have not shown mortality benefit. These results are limited by patient heterogeneity and poor animal models. Considerations of sepsis phenotypes and novel biomarkers in future trials are important factors to be considered in future research. Further characterization of lipid dysregulation and chronic inflammation during sepsis will aid mortality risk stratification, detection of sepsis, and inform individualized pharmacologic therapies.