Algae are considered promising biomass resources for biofuel production. However, some arguments doubt the economical and energetical feasibility of algal cultivation, harvesting, and conversion processes. Beyond biofuel, value-added bioproducts can be generated via algae conversion, which would enhance the economic feasibility of algal biorefineries. This review primarily focuses on valuable chemical and bioproduct production from algae. The methods for effective recovery of valuable algae components, and their applications are summarized. The potential routes for the conversion of lipids, carbohydrates, and proteins to valuable chemicals and bioproducts are assessed from recent studies. In addition, this review proposes the following challenges for future algal biorefineries: (1) utilization of naturally grown algae instead of cultivated algae; (2) fractionation of algae to individual components towards high-selectivity products; (3) avoidance of humin formation from algal carbohydrate conversion; (4) development of strategies for algal protein utilisation; and (5) development of efficient processes for commercialization and industrialization.