Lipids are a diverse group of compounds that play several important roles in insect physiology. Among biological lipids, the fundamental category comprises fatty acyl structures, with significant members being fatty acids (FAs). They play several crucial functions in insect physiology; they are used as the source of energy for flight and play key roles in the insect immune system. The FAs present in the insect cuticle are known to demonstrate antibacterial and antifungal activity and are considered as potential insecticides. The most abundant family of lipids are the glycerolipids, with numerous cellular functions including storage of energy, structural compartmentation of cells and organelles, and important signaling activities required for regulation of physiological processes (i.e., growth, development, reproduction, diapause, and overwintering). The phospholipids are also highly diversified key components of all cell membranes; they can modify cellular components in response to rapid cold-hardening (RCH), enhancing membrane fluidity and improving survival at low temperatures. The sphingolipids are important structural and signaling bioactive compounds, mostly detected in membranes.Insects are sterol-auxotrophs: they do not have genes, which code enzymes converting farnesyl pyrophosphate to squalene. Similarly, to mammals, the production of steroids in insects is regulated by cytochrome P450 enzymes that convert sterols (mostly cholesterol) to hormonally active steroids. The major molting hormone in insects is 20-hydroxyecdysone, and cholesterol is the required precursor; however, several exemptions from this rule have been noted. This manuscript also reviews the roles of prenol lipids, isoprenoids, lipid vitamins, polyketides, and waxes in the vital processes of insects.