Alzheimer's disease (AD) is the commonest form of dementia in the elderly, characterized by memory dysfunction, loss of lexical access, spatial and temporal disorientation, and impaired judgment. A growing body of scientific literature addresses the implication of dietary habits in the pathogenesis of AD. This review reports recent findings concerning the modulation of AD development by dietary lipids, in animals and humans, focusing on the pathogenetic role of lipid oxidation products. Oxidative breakdown products of ω-6 polyunsaturated fatty acids (ω-6 PUFAs), and cholesterol oxidation products (oxysterols), might play a role in favoring β-amyloid deposition, a hallmark of AD's onset and progression. Conversely, ω-3 PUFAs appear to contribute to preventing and treating AD. However, high concentrations of ω-3 PUFAs can also produce oxidized derivatives reacting with important functions of nervous cells. Thus, altered balances between cholesterol and oxysterols, and between ω-3 and ω-6 PUFAs must be considered in AD's pathophysiology. The use of a diet with an appropriate ω-3/ω-6 PUFA ratio, rich in healthy oils, fish and antioxidants, such as flavonoids, but low in cholesterol-containing foods, can be a beneficial component in the clinical strategies of prevention of AD.