Membrane proteins need to fold with precision in order to function correctly, with misfolding potentially leading to disease. The proteins reside within a hydrophobic lipid membrane and must insert into the membrane and fold correctly, generally whilst they are being translated by the ribosome. Favourable and unfavourable free energy contributions are present throughout each stage of insertion and folding. The unfavourable energy cost of transferring peptide bonds into the hydrophobic membrane interior is compensated for by the favourable hydrophobic effect of partitioning a hydrophobic transmembrane alpha-helix into the membrane. Native membranes are composed of many different types of lipids, but how these different lipids influence folding and the associated free energies is not well understood. Altering the lipids in the bilayer is known to affect the probability of transmembrane helix insertion into the membrane, and lipids also affect protein stability and can promote successful folding. This review will summarise the free energy contributions associated with insertion and folding of alpha helical membrane proteins, as well as how lipids can make these processes more or less favourable. We will also discuss the implications of this work for the free energy landscape during the co-translational folding of alpha helical membrane proteins.