Cancer is one of the main causes of mortality worldwide. Geographical differences in incidence rates suggest a key effect of environmental factors, especially diet, in its aetiology. Epidemiologic and experimental studies have found a role of dietary lipids in cancer, particularly breast, colorectal, and prostate cancers. Their incidence in the Mediterranean countries, where the main source of fat is olive oil, is lower than in other areas of the world. Human studies about the effects of dietary lipids are little conclusive, probably due to methodological issues. On the other hand, experimental data have clearly demonstrated that the influence of dietary fats on cancer depends on the quantity and the type of lipids. Whereas a high intake of n-6 PUFA and saturated fat has tumor-enhancing effects, n-3 PUFA, conjugated linoleic acid and gamma-linolenic acid have inhibitory effects. Data regarding MUFA have not always been conclusive, but high olive oil diets seem to have protective effects. Such effects can be due to oleic acid, the main MUFA in olive oil, and to certain minor compounds such as squalene and phenolic compounds. This work aims to review the current knowledge about the relationship between dietary lipids and cancer, with a special emphasis on olive oil, and the molecular mechanisms underlying these effects: modifications on the carcinogenesis stages, hormonal status, cell membrane structure and function, signal transduction pathways, gene expression, and immune system.