Microbial oils have been considered a renewable feedstock for bioenergy not competing with food crops for arable land, freshwater and biodiverse natural landscapes. Microalgal oils may also have other purposes (niche markets) besides biofuels production such as pharmaceutical, nutraceutical, cosmetic and food industries. The polyunsaturated fatty acids (PUFAs) obtained from oleaginous microalgae show benefits over other PUFAs sources such as fish oils, being odorless, and non-dependent on fish stocks. Heterotrophic microalgae can use low-cost substrates such as organic wastes/residues containing carbon, simultaneously producing PUFAs together with other lipids that can be further converted into bioenergy, for combined heat and power (CHP), or liquid biofuels, to be integrated in the transportation system. This review analyses the different strategies that have been recently used to cultivate and further process heterotrophic microalgae for lipids, with emphasis on omega-3 rich compounds. It also highlights the importance of studying an integrated process approach based on the use of low-cost substrates associated to the microalgal biomass biorefinery, identifying the best sustainability methodology to be applied to the whole integrated system.