G protein coupled receptors (GPCRs) are a class of membrane proteins that sense extracellular signals ranging from light to odorants and small molecules and activate intracellular signaling pathways that control important physiological responses. Being composed of 7 transmembrane helices linked by extracellular and intracellular loops, the great majority of the sequence of these receptors is embedded in the lipid membrane. Therefore, it is expected GPCR structure and function to be impacted by the surrounding lipid environment and the lipid membrane physico-chemical and mechanical properties. A large number of examples from the literature is provided to highlight the role of the lipid nature (lipid headgroup, membrane polyunsaturation and cholesterol) and membrane physical and mechanical properties (curvature elastic stress, membrane thickness and hydrophobic mismatch, fluidity) in the activity of different GPCRs. In addition, lipids are important co-factors being identified in very specific locations in several GPCR structures. GPCRs and G proteins can also be lipid post-translationally modified and such events can significantly impact membrane binding, trafficking and signaling. These aspects are all treated in this review. Understanding how the lipid can modulate GPCR activity is important not only from a fundamental point of view but also due to the fact that certain pathologies, where GPCRs are central targets, have been associated with important lipid imbalance. Establishing a link between the lipid pathological imbalance and the receptor functioning in such environment is thus essential as it can open avenues to potentially innovative therapeutic strategies.