Normally, the fats EPA and DHA exist as triglycerides, which is just a glycerol backbone with three fatty acids attached. Triglycerides are also the form of fat normally found in the body.
When EPA and DHA are extracted to be concentrated in a fish oil product, they are often converted into their ethyl ester form. Basically they are just fatty acid strands.
The triglyceride form is a better way to go because the ethyl ester forms are unstable and can oxidize easier, and they are also more resistant to enzymatic digestion thus being less well absorbed. Glycerol allows the fatty acids to reform triglycerides after digestion, but if there is no glycerol available the fatty acids can pose a problem with oxidation. Most higher end fish oil companies retriglyceride their fish oil during the manufacturing process.