Low plasma levels of high-density lipoprotein (HDL) cholesterol are associated with increased risks of coronary artery disease (CAD). HDL particles exert many effects in vitro and in vivo that may protect arteries from chemical or biological harm or facilitate repair of injuries. Nevertheless, HDL has not yet been successfully exploited for therapy. One potential reason for this shortfall is the structural and functional complexity of HDL particles, which carry more than 80 different proteins and more than 200 lipid species as well as several microRNAs and other potentially bioactive molecules. This physiological heterogeneity is further increased in several inflammatory conditions that increase cardiovascular risk, including CAD itself but also diabetes mellitus, chronic kidney disease, and rheumatic diseases. The quantitative and qualitative modifications of the proteome and lipidome, as well as the resulting loss of functions or gain of dysfunctions, are not recovered by the biomarker HDL-cholesterol. As yet the relative importance of the many physiological and pathological activities of normal and dysfunctional HDL, respectively, for the pathogenesis of atherosclerosis is unknown. The answer to this question, as well as detailed knowledge of structure-function-relationships of HDL-associated molecules, is a prerequisite to exploit HDL for the development of anti-atherogenic drugs as well as of diagnostic biomarkers for the identification, personalized treatment stratification, and monitoring of patients at increased cardiovascular risk.