In the total stereo-controlled synthesis of natural prostaglandins (PGs) and their structural analogs, a vast class of compounds and drugs, known as the lactones, are encountered in a few key steps to build the final molecule, as: δ-lactones, γ-lactones, and 1,9-, 1,11-, and 1,15-macrolactones. After the synthesis of 1,9-PGF2α and 1,15-PGF2α lactones, many 1,15-lactones of E2, E3, F2, F3, A2, and A3 were found in the marine mollusc Tethys fimbria and the quest for understanding their biological role stimulated the research on their synthesis. Then 1,9-, 1,11-, and 1,15-PG lactones of the drugs were synthesized as an alternative to the corresponding esters, and the first part of the paper describes the methods used for their synthesis. The efficient Corey procedure for the synthesis of prostaglandins uses the key δ-lactone and γ-lactone intermediates with three or four stereocenters on the cyclopentane fragment to link the PG side chains. The paper describes the most used procedures for the synthesis of the milestone δ-Corey-lactones and γ-Corey-lactones, their improvements, and some new promising methods, such as interesting, new stereo-controlled and catalyzed enantioselective reactions, and methods based on the chemical/enzymatic resolution of the compounds in different steps of the sequences. The many uses of δ-lactones not only for the synthesis of γ-lactones, but also for obtaining 9β-halogen-PGs and halogen-substituted cyclopentane intermediates, as synthons for new 9β-PG analogs and future applications, are also discussed.