The molecular lipid composition of exosomes is largely unknown. In this study, sophisticated shotgun and targeted molecular lipidomic assays were performed for in-depth analysis of the lipidomes of the metastatic prostate cancer cell line, PC-3, and their released exosomes. This study, based in the quantification of approximately 280 molecular lipid species, provides the most extensive lipid analysis of cells and exosomes to date. Interestingly, major differences were found in the lipid composition of exosomes compared to parent cells. Exosomes show a remarkable enrichment of distinct lipids, demonstrating an extraordinary discrimination of lipids sorted into these microvesicles. In particular, exosomes are highly enriched in glycosphingolipids, sphingomyelin, cholesterol, and phosphatidylserine (mol% of total lipids). Furthermore, lipid species, even of classes not enriched in exosomes, were selectively included in exosomes. Finally, it was found that there is an 8.4-fold enrichment of lipids per mg of protein in exosomes. The detailed lipid composition provided in this study may be useful to understand the mechanism of exosome formation, release and function. Several of the lipids enriched in exosomes could potentially be used as cancer biomarkers.