The role of lipids is essential in any phase of the atherosclerotic process, which is considered a chronic lipid-related and inflammatory condition. The traditional lipid profile (including the evaluation of total cholesterol, triglycerides, high-density lipoprotein, and low-density lipoprotein) is a well-established tool to assess the risk of atherosclerosis and as such has been widely used as a pillar of cardiovascular disease prevention and as a target of pharmacological treatments in clinical practice over the last decades. However, other non-traditional lipids have emerged as possible alternative predictors of cardiometabolic risk in addition to traditional single or panel lipids, as they better reflect the overall interaction between lipid/lipoprotein fractions. Therefore, this review deals with the lipid involvement characterizing the pathophysiology of atherosclerosis, discussing some recently proposed non-traditional lipid indices and, in the light of available knowledge, their actual potential as new additive tools to better stratify cardiovascular risk in patients with hyperlipidemia as well as possible therapeutic targets in the clinical practice.