Lipids can go through lipid peroxidation, an endogenous chain reaction that consists in the oxidative degradation of lipids leading to the generation of a wide variety of highly reactive carbonyl species (RCS), such as short-chain carbonyl derivatives and oxidized truncated phospholipids. RCS exert a wide range of biological effects due to their ability to interact and covalently bind to nucleophilic groups on other macromolecules, such as nucleic acids, phospholipids, and proteins, forming reversible and/or irreversible modifications and generating the so-called advanced lipoxidation end-products (ALEs). Lipoxidation plays a relevant role in the onset of cardiovascular diseases (CVD), mainly in the atherosclerosis-based diseases in which oxidized lipids and their adducts have been extensively characterized and associated with several processes responsible for the onset and development of atherosclerosis, such as endothelial dysfunction and inflammation. Herein we will review the current knowledge on the sources of lipids that undergo oxidation in the context of cardiovascular diseases, both from the bloodstream and tissues, and the methods for detection, characterization, and quantitation of their oxidative products and protein adducts. Moreover, lipoxidation and ALEs have been associated with many oxidative-based diseases, including CVD, not only as potential biomarkers but also as therapeutic targets. Indeed, several therapeutic strategies, acting at different levels of the ALEs cascade, have been proposed, essentially blocking ALEs formation, but also their catabolism or the resulting biological responses they induce. However, a deeper understanding of the mechanisms of formation and targets of ALEs could expand the available therapeutic strategies.