The invention relates to a soft hydrogel contact lens, especially a silicone hydrogel contact lens, which has a capability of delivering a hydrophobic comfort agent into the eye of a wearer. The hydrophobic comfort agent includes without limitation a monoglyceride, a diglyceride, a triglyceride, a glycolipid, a glyceroglycolipid, a sphingolipid, a sphingo-glycolipid, a phospholipid, a fatty acid, a fatty alcohol, a hydrocarbon having a C12-C28 chain in length, a mineral oil, a silicone oil, or a mixture thereof. It can be released from the soft hydrogel contact lens into the eye of a wearer when being worn so as to strengthen and stabilize the tear film lipid layer and alleviate the dryness of the eye.