Microalgae are currently considered an attractive source of highly valuable compounds for human and animal consumption, including polyunsaturated fatty acids (PUFAs). Several microalgae-derived compounds, such as ω-3 fatty acids, pigments, and whole dried biomasses are available on the market and are mainly produced by culturing microalgae in open ponds, which can be achieved with low setup and maintenance costs with respect to enclosed systems. However, open tanks are more susceptible to bacterial and other environmental contamination, do not guarantee a high reproducibility of algal biochemical profiles and productivities, and constrain massive cultivation to a limited number of species. Genetic engineering techniques have substantially improved over the last decade, and several model microalgae have been successfully modified to promote the accumulation of specific value-added compounds. However, transgenic strains should be cultured in closed photobioreactors (PBRs) to minimize risks of contamination of aquatic environments with allochthonous species; in addition, faster growth rates and higher yields of compounds of interest can be achieved in PBRs compared to open ponds. In this review, we present information collected about the major microalgae-derived commodities (with a special focus on PUFAs) produced at industrial scale, as well genetically-engineered microalgae to increase PUFA production. We also critically analyzed the main bottlenecks that make large-scale production of algal commodities difficult, as well as possible solutions to overcome the main problems and render the processes economically and environmentally safe.