This review considers the effectiveness of aerobic exercise training with different intensities (moderate and high) as well as the type of exercise (aerobic, resistance, and combined aerobic with resistance) in altering the blood lipids. We reviewed various trials via a systematic search of PubMed, published reviews, and references from original articles. We selected studies that involved aerobic and/or resistance and/or combined exercise training in healthy adults over a limit of 12 weeks and had examined the response of training to one or more of the following: triglycerides, total cholesterol, high-density lipoprotein cholesterol, and low-density lipoprotein cholesterol. We selected a total of 84 studies, 58 were randomized controlled trials. Comparisons between intensities of aerobic exercise programs resulted in favorable effects only for high intensity. The most frequently observed alteration was an increase in the high-density lipoprotein cholesterol, whereas reductions in triglycerides, total cholesterol, and low-density lipoprotein cholesterol appeared less often. Moreover, the evidence of the positive effect of resistance exercise marks out a trend mainly for the low-density lipoprotein cholesterol levels, whereas for combined exercise, results extracted from a short list of published studies show improvements in values of both the high-density lipoprotein cholesterol and the low-density lipoprotein cholesterol. High-intensity aerobic training results in improvement in high-density lipoprotein cholesterol. For resistance and combined exercise, the results are inconsistent. The heterogeneity between the types of exercise did not allow reliable comparisons.