Thraustochytrids have been applied for industrial production of the omega-3 fatty acid docosahexaenoic (DHA) since the 1990s. During more than 20 years of research on this group of marine, heterotrophic microorganisms, considerable increases in DHA productivities have been obtained by process and medium optimization. Strains of thraustochytrids also produce high levels of squalene and carotenoids, two other commercially interesting compounds with a rapidly growing market potential, but where yet few studies on process optimization have been reported. Thraustochytrids use two pathways for fatty acid synthesis. The saturated fatty acids are produced by the standard fatty acid synthesis, while DHA is synthesized by a polyketide synthase. However, fundamental knowledge about the relationship between the two pathways is still lacking. In the present review, we extract main findings from the high number of reports on process optimization for DHA production and interpret these in the light of the current knowledge of DHA synthesis in thraustochytrids and lipid accumulation in oleaginous microorganisms in general. We also summarize published reports on squalene and carotenoid production and review the current status on strain improvement, which has been hampered by the yet very few published genome sequences and the lack of tools for gene transfer to the organisms. As more sequences now are becoming available, targets for strain improvement can be identified and open for a system-level metabolic engineering for improved productivities.