Although High Density Lipoprotein Cholesterol (HDL-C) levels are inversely proportional to cardiovascular risk in many studies, recent pharmacological interventional studies with HDL-C raising strategies did not show a benefit in terms of vascular events. The HDL particle is heterogenous with anti-atherogenic functions and non-vascular effects. Many factors affect HDL components and may either cause compositional changes, post-translational modifications of proteins, or alter lipids and other cargo molecules; generally these factors cause more than one of these changes, resulting in functional differences. Therefore, the role of lipoproteins change in different physical and disease conditions. Mainly, in proteome, Apolipoprotein A1 (Apo-A1), Myeloperoxidase (MPO), Paroxonase (PON) are affected by inflammation or glycation-related factors; and especially esterification or unesterification of lipids, changes in phospholipid or unsaturated lipid content change the HDL function. Measuring the HDL-C level is probably not a good predictor of its cardiovascular benefits, and methods to evaluate HDL functions are required. In current medical practice, it is not simple and feasible to measure different functions of this lipoprotein, but near-future strategies may be developed. Meanwhile, as we learn more about HDL structure and the role of each component, we can develop therapeutic approaches to improve HDL function. Apo-A1-mimetics, reconstituted HDL, nanoparticles and microRNA therapies could be promising as anti-atherosclerotic therapies. They may even provide useful therapies for the treatment of some non-cardiovascular diseases.