Low levels of high-density lipoprotein cholesterol (HDL-C) have been associated with increased cardiovascular (CV) risk. These beneficial effects of HDL can be, at least partly, attributed to its anti-inflammatory, antithrombotic, antioxidant and endothelial-protective properties. However, the results of some clinical trials aiming at raising HDL-C levels are conflicting in terms of CV protection suggesting that alterations in HDL quality (and not only quantity) are involved in the atherosclerotic process. In this context, inflammation, oxidation, infection, hyperglycemia and activated platelets may modify HDL components, thus transforming HDL to a dysfunctional molecule with pro-atherogenic properties. Furthermore, some recent trials with HDL-raising drugs, such as niacin and torcetrapib, reported a lack of benefit in terms of vascular risk as well as adverse events including cancer and infections. In this narrative review, the findings of recent HDL clinical studies in relation to CV events as well as the associations of HDL with cancer and infections are discussed. The possible pathogenic mechanisms of these associations are also considered. The clinical implications of HDL function in treating patients at high CV risk remains to be established in future trials.