Consistent experimental data suggest the importance of inflammation-associated oxidative stress in colorectal cancer (CRC) pathogenesis. Inflammatory bowel disease with chronic intestinal inflammation is now considered a precancerous condition. Oxidative stress is an essential feature of inflammation. Activation of redox-sensitive pro-inflammatory cell signals and inflammatory mediators concur to establish a pro-tumoral environment. In this frame, lipid oxidation products, namely 4-hydroxynonenal and oxysterols, can be produced in big quantity so as to be able to exert their function as inducers of cell signaling pathways of proliferation and survival. Notably, an important source of these two compounds is represented by a high fat diet, which is undoubtedly a risk factor for inflammation and CRC development. Current evidence for the emerging implication of these two oxidized lipids in inflammation and CRC development is discussed in this review.