Dairy product consumption is often associated with negative effects because of its naturally high levels of saturated fatty acids. However, recent research has shown that dairy lipids possess putative bioactivity against chronic inflammation. Inflammation triggers the onset of several chronic diseases, including cardiovascular disease, type 2 diabetes mellitus, obesity, and cancer. This review discusses the anti-inflammatory properties of dairy lipids found in milk, yogurt, and cheese, and it examines them in relation to their implications for human health: their protective effects and their role in pathology. We also consider the effect of lipid profile alteration in dairy products by using ruminant dietary strategies to enrich the milk, or by lipid fortification in the products. We critically review the in vivo, in vitro, ex vivo, and epidemiological studies associated with these dairy lipids and their role in various inflammatory conditions. Finally, we discuss some suggestions for future research in the study of bioactive lipids and dairy products, with reference to the novel field of metabolomics and epidemiological studies.