Thirteen years ago, α-lactalbumin (α-LA) was first reported to form a complex with oleic acid (OA). This complex, called HAMLET (human α-lactalbumin made lethal to tumour cells), was found to be cytotoxic to cancer cells. In HAMLET, α-LA assumes a partially unfolded conformation and can bind OA in various stoichiometries. Subsequently, different groups have been able to prepare HAMLET-like cytotoxic complexes in different ways, which all involve the destabilization of α-LA, and a number of different proteins have been able to form similar complexes. This suggests that the ability to form stable complexes with lipids may be a generic feature of the polypeptide chain, although the precise structural and functional details may vary from protein to protein. We review the biophysical and biochemical properties of this class of complexes, focusing on different methods of preparation, complex structure and the role of the protein and the lipid within these complexes. The cellular effects of these complexes are multifaceted and depend on the cell types. There are strong indications that OA has an essential role, whereas the protein component, rather than having a toxic effect on its own, functions as a vehicle for transporting the toxic OA to the cells and keeping the OA in solution. Fatty acids alone can affect numerous cellular signalling and metabolic pathways, in addition to playing important roles in immune responses and inflammatory processes. Further studies will aim to determine how the molecular properties of the different protein–lipid complexes correlate with their biological efficacy.