Oligonucleotides, including antisense oligonucleotides and siRNA, are promising therapeutic agents against a variety of diseases. Effective delivery of these molecules is critical in view of their clinical application. Therefore, cation-based nanoplexes have been developed to improve the stability as well as the intracellular penetration of these short fragments of nucleic acids. However, this approach is clearly limited by the strong interaction with proteins after administration and by the inherent toxicity of these positively charged transfection materials. Neutral lipid-oligonucleotide conjugates have become a subject of considerable interest to improve the safe delivery of oligonucleotides. These molecules have been chemically conjugated to hydrophobic moieties such as cholesterol, squalene, or fatty acids to enhance their pharmacokinetic behavior and trans-membrane delivery. The present review gives an account of the main synthetic methods available to conjugate lipids to oligonucleotides and will discuss the pharmacological efficacy of this approach.