When discussing the digestion of any biological molecule, it is safe to say that digestion begins in the mouth due to the actions of enzymes secreted there. In the mouth, enzymes that break down lipids (e.g., lipases) are secreted to begin digestion. Digestion of lipids from the diet is accelerated in the stomach, where repetitive mixing changes large lipid droplets into smaller, more manageable sizes. This is important, as it provides more space for digestive enzymes from the pancreas to work on the lipids. Cholecystokinin (CCK) is a hormone produced by the small intestine that is involved in slowing down the movement of food from the stomach into the small intestine. This allows more time for the stomach's mixing actions.
Once the food has passed into the small intestine, bile (produced by the liver and stored/concentrated in the gallbladder) acts as an emulsifier. In essence, bile inserts itself into the lipid molecules and forces them apart so that there is more surface area for pancreatic enzymes to digest. Then, pancreatic lipases break these large lipid molecules into single fatty acids, glycerides, and cholesterol.
Single fatty acids, glycerides, and cholesterol are then able to diffuse across the wall of the small intestine and enter the bloodstream.