Despite their young age, women with polycystic ovary syndrome (PCOS) have increased cardiovascular risk. Besides normal concentrations of low-density lipoprotein (LDL) cholesterol, dyslipidemia is very common and includes elevated triglyceride levels and low high-density lipoprotein cholesterol concentrations. Recent findings also showed that women with PCOS have qualitative LDL alterations, with increased levels of atherogenic small, dense LDL particles. Such lipid abnormalities constitute a common form of dyslipidemia, the so-called atherogenic lipoprotein phenotype (ALP), associated with a greater cardiovascular risk. Weight reduction and increased physical activity may constitute first-line therapy for ALP in PCOS, and lipid lowering drugs, particularly nicotinic acid and fibrates, should be used in patients with severe dyslipidemia. Statins have usually a lower impact on ALP, and their beneficial effect is often moderate. Insulin-sensitizing medications favorably alter each component of ALP and combined therapy with these agents remains an option; in particular, the combination pioglitazone plus metformin seems to be particularly beneficial.