Lipids are apolar small molecules known not only as components of cell membranes but also, in recent literature, as modulators of different biological functions. Herein, we focused on the bioactive lipids that can influence the immune responses and inflammatory processes regulating vascular hyperreactivity, pain, leukocyte trafficking, and clearance. In the case of excessive pro-inflammatory lipid activity, these lipids also contribute to the transition from acute to chronic inflammation. Based on their biochemical function, these lipids can be divided into different families, including eicosanoids, specialized pro-resolving mediators, lysoglycerophospholipids, sphingolipids, and endocannabinoids. These bioactive lipids are involved in all phases of the inflammatory process and the pathophysiology of different chronic autoimmune diseases such as rheumatoid arthritis, multiple sclerosis, type-1 diabetes, and systemic lupus erythematosus.