Epidemiological studies have shown an inverse association between high-density lipoprotein cholesterol (HDL-C) levels and risk of ischemic heart disease. In addition, a low level of HDL-C has been shown to be a risk factor for other diseases not related to atherosclerosis. However, recent studies have not supported a causal effect of HDL-C in the development of atherosclerosis. Furthermore, new drugs markedly elevating HDL-C levels have been disappointing with respect to clinical endpoints. Earlier, most studies have focused almost exclusively on the total HDL-C without regard to the chemical composition or multiple subclasses of HDL particles. Recently, there have been efforts to dissect the HDL fraction into as many well-defined subfractions and individual molecules of HDL particles as possible. On the other hand, the focus is shifting from the structure and composition to the function of HDL particles. Biomarkers and mechanisms that could potentially explain the beneficial characteristics of HDL particles unrelated to their cholesterol content have been sought with sophisticated methods such as proteomics, lipidomics, metabonomics, and function studies including efflux capacity. These new approaches have been used in order to resolve the complex effects of diseases, conditions, environmental factors, and genes in relation to the protective role of HDL but high-throughput methods are still needed for large-scale epidemiological studies.