Bone lesions encountered as part of radiology practice can bring diagnostic challenges, both when encountered incidentally or suspected as a primary bone lesion, and in patients at risk of metastases or marrow-based malignancies. Differentiating benign from malignant bone marrow lesions is critical, yet can be challenging due to overlapping imaging characteristics. One key imaging feature that can assist with diagnosis is the presence of fat within the lesion. Fat can be present either macroscopically (i.e., visible on radiographs, computed tomography (CT), and conventional magnetic resonance imaging (MRI)), or microscopically, detected through specialised MRI techniques such as chemical shift imaging (CSI). This comprehensive review explores the diagnostic significance of both macroscopic and microscopic fat in bone lesions and discusses how its presence can point towards benignity. We illustrate the spectrum of fat-containing bone lesions, encompassing both typical and atypical presentations, and provide practical imaging strategies to increase diagnostic accuracy by utilising radiographs, CT, and MRI in characterising these lesions. Specifically, CSI is highlighted as a non-invasive method for evaluating intralesional fat content, to distinguish benign marrow entities from malignant marrow-replacing conditions based on quantifiable signal drop-off. Furthermore, we detail imaging pitfalls with a focus on conditions that can mimic malignancy (such as aggressive haemangiomas) and collision lesions. Through a detailed discussion and illustrative examples, we aim to guide radiologists and clinicians in recognising reassuring imaging features while also identifying scenarios where further investigation may be warranted.