Plasma concentrations of HDL cholesterol (HDL-C) are strongly and inversely associated with cardiovascular risk, leading to the concept that therapies to enhance plasma HDL-C levels would be anti-atherogenic and protective against cardiovascular events. However, HDL are highly heterogeneous, with subclasses that can be separated and identified according to density, size, charge, and protein composition. There is evidence that these subclasses may differ in their functional anti-atherogenic properties. As a snapshot of the steady-state cholesterol carried by all HDL subclasses together, the individual HDL-C measurement is insufficient to capture the structural and functional variation in HDL particles. This review addresses the current knowledge on the structural and functional heterogeneity of HDL particles, and their relationship to cardiovascular disease, in the attempt of answering the question on whether certain subclasses of HDL may be better predictors of cardiovascular risk than HDL-C, and may be better targets than HDL-C for further improving cardiovascular disease reduction in the statin era.