The cholesterol concentrations of low-density lipoprotein (LDL) and high-density lipoprotein (HDL) have traditionally served as risk factors for cardiovascular disease. As such, novel therapeutic interventions aiming to raise HDL cholesterol have been tested in the clinical setting. However, most trials led to a significant increase in HDL cholesterol with no improvement in cardiovascular events. The complexity of the HDL particle, which exerts multiple physiological functions and is comprised of a number of subclasses, has raised the question as to whether there should be more focus on HDL subclass and function rather than cholesterol quantity. We review current data regarding HDL subclasses and subclass-specific functionality and highlight how current lipid modifying drugs such as statins, cholesteryl ester transfer protein inhibitors, fibrates and niacin often increase cholesterol concentrations of specific HDL subclasses. In addition this review sets out arguments suggesting that the HDL3 subclass may provide better protective effects than HDL2.