Eukaryotes are characterized by endomembranes that are connected by vesicular transport along secretory and endocytic pathways. The compositional differences between the various cellular membranes are maintained by sorting events, and it has long been believed that sorting is based solely on protein-protein interactions. However, the central sorting station along the secretory pathway is the Golgi apparatus, and this is the site of synthesis of the sphingolipids. Sphingolipids are essential for eukaryotic life, and this review ascribes the sorting power of the Golgi to its capability to act as a distillation apparatus for sphingolipids and cholesterol. As Golgi cisternae mature, ongoing sphingolipid synthesis attracts endoplasmic reticulum-derived cholesterol and drives a fluid-fluid lipid phase separation that segregates sphingolipids and sterols from unsaturated glycerolipids into lateral domains. While sphingolipid domains move forward, unsaturated glycerolipids are retrieved by recycling vesicles budding from the sphingolipid-poor environment. We hypothesize that by this mechanism, the composition of the sphingolipid domains, and the surrounding membrane changes along the cis- trans axis. At the same time the membrane thickens. These features are recognized by a number of membrane proteins that as a consequence of partitioning between domain and environment follow the domains but can enter recycling vesicles at any stage of the pathway. The interplay between protein- and lipid-mediated sorting is discussed.