We review the fundamental strategies used by small peptides to associate with lipid membranes and how the different strategies impact on the structure and dynamics of the lipids. In particular we focus on the binding of amphiphilic peptides by electrostatic and hydrophobic forces, on the anchoring of peptides to the bilayer by acylation and prenylation, and on the incorporation of small peptides that form well-defined channels. The effect of lipid-peptide interactions on the lipids is characterized in terms of lipid acyl-chain order, membrane thickness, membrane elasticity, permeability, lipid-domain and annulus formation, as well as acyl-chain dynamics. The different situations are illustrated by specific cases for which experimental observations can be interpreted and supplemented by theoretical modeling and simulations. A comparison is made with the effect on lipids of trans-membrane proteins. The various cases are discussed in the context of the possible roles played by lipid-peptide interactions for the biological, physiological, and pharmacological function of peptides.