Lipids are small molecule immunomodulators that play critical roles in maintaining cellular health and function. Microglia, the resident immune cells of the central nervous system, regulate lipid metabolism both in the extracellular environment and within intracellular compartments through various mechanisms. For instance, glycerophospholipids and fatty acids interact with protein receptors on the microglial surface, such as the Triggering Receptor Expressed on Myeloid Cells 2, influencing cellular functions like phagocytosis and migration. Moreover, cholesterol is essential not only for microglial survival but, along with other lipids such as fatty acids, is crucial for the formation, function, and accumulation of lipid droplets, which modulate microglial activity in inflammatory diseases. Other lipids, including acylcarnitines and ceramides, participate in various signaling pathways within microglia. Despite the complexity of the microglial lipidome, only a few studies have investigated the effects of specific lipid classes on microglial biology. In this review, we focus on major lipid classes and their roles in modulating microglial function. We also discuss novel analytical techniques for characterizing the microglial lipidome and highlight gaps in current knowledge, suggesting new directions for future research on microglial lipid biology.