Numerous studies have found an association between the consumption of certain bioactive lipids and improved human health, e.g., the prevention, delay, or treatment of chronic and acute diseases, such as cancer, cardiovascular disease (CVD), osteoporosis, and immune disorders. In this review, we discuss food-based sources and potential beneficial attributes of major dietary bioactive lipids: polyunsaturated fatty acids; carotenoids; phytosterols and phytostanols; and fat-soluble vitamins. We summarize the various challenges associated with incorporating these bioactive lipids into foods and beverages, such as poor water solubility, high melting point, and low chemical stability. Finally, we propose several techniques that have been used to solve the challenges and integrate dietary bioactive lipids into foods for improved health.