Accumulation of cholesterol by macrophages, leading to their transformation into foam cells is a key event in the initiation of atherosclerosis. As maintenance of cholesterol homeostasis in macrophages is essential to prevent foam cell formation, mechanisms by which macrophages export cellular cholesterol have been intensively investigated in recent years. Several epidemiological studies have shown that plasma levels of high-density lipoprotein (HDL) cholesterol are inversely correlated with the risk of atherosclerosis. The protective effect of HDL against macrophage foam cell formation and atherosclerosis is primarily attributed to its role in reverse cholesterol transport (RCT), a process by which excess cholesterol in peripheral tissues is transported to the liver for excretion. The present review discusses current knowledge on the biological activities of the major apolipoproteins, enzymes, lipid transfer proteins, receptors, and lipid transporters associated with HDL function and levels. In addition, current views on the molecular mechanisms underlying the atheroprotective functions of HDL beyond promotion of RCT, including the anti-oxidant, anti-thrombotic, anti-inflammatory and anti-apoptotic properties of HDL are summarized.