Obesity and its two major comorbidities, insulin resistance and type 2 diabetes, represent worldwide health issues whose incidence is predicted to steadily rise in the coming years. Obesity is characterized by an accumulation of fat in metabolic tissues resulting in chronic inflammation. It is now largely accepted that adipose tissue inflammation underlies the etiology of these disorders. Adipose tissue macrophages (ATMs) represent the most enriched immune fraction in hypertrophic, chronically inflamed adipose tissue, and these cells play a key role in diet-induced type 2 diabetes and insulin resistance. ATMs are triggered by the continuous influx of dietary lipids, among other stimuli; however, how these lipids metabolically activate ATM depends on their nature, composition and localization. This review will discuss the fate and molecular programs elicited within obese ATMs by both exogenous and endogenous lipids, as they mediate the inflammatory response and promote or hamper the development of obesity-associated insulin resistance and type 2 diabetes.