The question of whether heated fats in the diet may be detrimental to health is nowadays of the upmost concern, but finding an answer is not easy and requires careful consideration of different aspects of lipid oxidation. This review is divided into two sections. The first part deals with the nature of the new compounds formed at high temperature in the frying process as well as their occurrence in the diet while the second part focuses on their possible nutritional and physiological effects. Oxidation products present in abused frying fats and oils are the compounds most suspected of impairing the nutritional properties of the oils or involving adverse physiological effects. The recent studies on their health implications include those related to their fate and those focused on their effects in metabolic pathways and the most prevalent diseases.