HDL transports cholesterol out of one's arteries to the liver for disposal or recycling. It seems, however, that not all HDL is created equal. If you have too much small particle HDL and insufficient cholesterol ester transfer protein for enlarging these small particles, then there is no cardiovascular benefit provided.
If you have a family history of early heart disease in your closest relatives, but even a high HDL, you may wish to have the size of HDL particles measured. Larger particles offer protection while smaller ones do not.