One of the main goals of Mankind is to ensure food system sustainability—including management of land, soil, water, and biodiversity. Microalgae accordingly appear as an innovative and scalable alternative source in view of the richness of their chemical profiles. In what concerns lipids in particular, microalgae can synthesize and accumulate significant amounts of fatty acids, a great fraction of which are polyunsaturated; this makes them excellent candidates within the framework of production and exploitation of lipids by various industrial and health sectors, either as bulk products or fine chemicals. Conventional lipid extraction methodologies require previous dehydration of microalgal biomass, which hampers economic feasibility due to the high energy demands thereof. Therefore, extraction of lipids directly from wet biomass would be a plus in this endeavor. Supporting processes and methodologies are still limited, and most approaches are empirical in nature—so a deeper mechanistic elucidation is a must, in order to facilitate rational optimization of the extraction processes. Besides circumventing the current high energy demands by dehydration, an ideal extraction method should be selective, sustainable, efficient, harmless, and feasible for upscale to industrial level. This review presents and discusses several pretreatments incurred in lipid extraction from wet microalga biomass, namely recent developments and integrated processes. Unfortunately, most such developments have been proven at bench-scale only—so demonstration in large facilities is still needed to confirm whether they can turn into competitive alternatives.