Oxidative stress is the consequence of an overproduction of reactive oxygen species (ROS) that exceeds the antioxidant defense mechanisms. Increased levels of ROS contribute to the development of cardiovascular disorders through oxidative damage to macromolecules, particularly by oxidation of plasma lipoproteins. One of the most prominent features of atherogenic dyslipidemia is plasma accumulation of small dense LDL (sdLDL) particles, characterized by an increased susceptibility to oxidation. Indeed, a considerable and diverse body of evidence from animal models and epidemiological studies was generated supporting oxidative modification of sdLDL particles as the earliest event in atherogenesis. Lipid peroxidation of LDL particles results in the formation of various bioactive species that contribute to the atherosclerotic process through different pathophysiological mechanisms, including foam cell formation, direct detrimental effects, and receptor-mediated activation of pro-inflammatory signaling pathways. In this paper, we will discuss recent data on the pathophysiological role of oxidative stress and atherogenic dyslipidemia and their interplay in the development of atherosclerosis. In addition, a special focus will be placed on the clinical applicability of novel, promising biomarkers of these processes.