The lipid oxidation of fats and oils leads to volatile organic compounds, having a decisive influence on the sensory quality of foods. To understand formation and degradation pathways and to evaluate the suitability of lipid-derived aldehydes as marker substances for the oxidative status of foods, the formation of secondary and tertiary lipid oxidation compounds was investigated with gas chromatography in rapeseed oils. After 120 min, up to 65 compounds were detected. In addition to secondary degradation products, tertiary products such as alkyl furans, ketones, and aldol condensation products were also found. The comparison of rapeseed oils, differing in their initial peroxide values, showed that the formation rate of secondary compounds was higher in pre-damaged oils. Simultaneously, a faster degradation, especially of unsaturated aldehydes, was observed. Consequently, the formation of tertiary products (e.g., alkyl furans, aldol adducts) from well-known lipid oxidation products (i.e., propanal, hexanal, 2-hexenal, and 2-nonenal) was investigated in model systems. The experiments showed that these compounds form the new substances in subsequent reactions, especially, when other compounds such as phospholipids are present. Hexanal and propanal are suitable as marker compounds in the early phase of lipid oxidation, but at an advanced stage they are subject to aldol condensation. Consequently, the detection of tertiary degradation products needs to be considered in advanced lipid oxidation.