They’re surprised??? Cholesterol is THE starting material for all steroid hormones. For those unfamiliar with the process, go to this link http://www.vivo.colostate.edu/hbooks/pathphys/endocrine/basics/steroidogenesis.html and scroll down about 2/3rds of the way to see the “map” of the most important 16 of many hormones built from cholesterol.
Cholesterol is also the material that maintains the integrity of cell walls and which is converted into extremely beneficial Vitamin D (D3, actually) when hit by UV rays (i.e. getting a bit of sun each day is GOOD for you - because Vitamin D helps to fight infections, heart disease and cancer...so much for the scare over sun exposure).
Once again, moderation is the key to nearly everything.