Lipids perform a wide range of functions inside the cell, ranging from structural building block of membranes and energy storage to cell signaling. The mode of action of many signaling lipids has remained elusive due to their low abundance, high lipophilicity, and inherent instability. Various chemical biology approaches, such as photoaffinity or activity-based protein profiling methods, have been employed to shed light on the biological role of lipids and the lipid-protein interaction profile. In this review, we will summarize the recent developments in the field of chemical probes to study lipid biology, especially in immunology, and indicate potential avenues for future research.