Oleaginous microorganisms are among the most promising feedstocks for the production of lipids for biofuels and oleochemicals. Lipids are synthesized in intracellular compartments in the form of lipid droplets. Therefore, their qualitative and quantitative analysis requires an initial pretreatment step that allows their extraction. Lipid extraction techniques vary with the type of microorganism but, in general, the presence of an outer membrane or cell wall limits their recovery. This review discusses the various types of oleaginous microorganisms, their lipid accumulating capabilities, lipid extraction techniques, and the pretreatment of cellular biomass for enhanced lipid recovery. Conventional methods for lipid quantification include gravimetric and chromatographic approaches; whereas non-conventional methods are based on infrared, Raman, nuclear magnetic resonance, and fluorescence spectroscopic analysis. Recent advances in these methods, their limitations, and fields of application are discussed, with the aim of providing a guide for selecting the best method or combination of methods for lipid quantification.