Lipids from marine organisms are a source of molecules of high nutritional significance, like polyunsaturated fatty acids (PUFAs) and antioxidants. The incorporation of these molecules into the human body is possible mainly through the intake of fish and fish oil-based food. This review covers some of the health benefits and biochemical aspects of nutritional lipids, the available marine resources for the production of PUFAs and antioxidants, and the most used methods for the extraction and identification of these natural lipid molecules in the lab and in the industry. Emphasis is put on the use of residual biomass from fisheries to obtain these interesting products and the consequent improvement of the sustainability of the fish industry.