Lipids are the major energy source of humans. Their digestion, transport, formation, intracellular storage and mobilization are tightly controlled processes to ensure overall energy balance. Here we review discovery and investigation of lipases, which are key players in hydrolysis of lipids, by proteomic means. In particular, we cover the use of activity based probes for functional analysis of these enzymes. The regulation of lipolytic activity is crucial to ensure energy balance and to avoid lipotoxic effects as exerted by products of lipolysis such as free fatty acids. Therefore, transcriptional and post-translational regulation are involved in the equilibrium between lipid storage and mobilization. Moreover, substrate accessibility, which may be governed by localization of lipases, is a key regulatory element. Lipid transport as well as lipid synthesis, storage and mobilization is facilitated by complex lipid-protein assemblies, namely lipoproteins and lipid droplets. Proteomic studies of these particles have uncovered protein factors involved in their assembly and transport, but also in lipid synthesis and mobilization.