The short answer
LDL builds plaque, so treatment aims at LDL. HDL and triglycerides add context about your risk.
Higher HDL tends to go with lower risk, but medicines that raise HDL haven't prevented heart attacks, so it isn't a treatment target.
Triglycerides above 150 mg/dL often travel with insulin resistance and raise risk. Above 500, they can also inflame the pancreas.
Source: 2018 AHA/ACC cholesterol guideline; AIM-HIGH trial, NEJM 2011.