Details about molecular membrane dynamics in living cells, such as lipid-protein interactions, are often hidden from the observer because of the limited spatial resolution of conventional far-field optical microscopy. The superior spatial resolution of stimulated emission depletion (STED) nanoscopy can provide new insights into this process. The application of fluorescence correlation spectroscopy (FCS) in focal spots continuously tuned down to 30 nm in diameter distinguishes between free and anomalous molecular diffusion due to, for example, transient binding of lipids to other membrane constituents, such as lipids and proteins. We compared STED-FCS data recorded on various fluorescent lipid analogs in the plasma membrane of living mammalian cells. Our results demonstrate details about the observed transient formation of molecular complexes. The diffusion characteristics of phosphoglycerolipids without hydroxyl-containing headgroups revealed weak interactions. The strongest interactions were observed with sphingolipid analogs, which showed cholesterol-assisted and cytoskeleton-dependent binding. The hydroxyl-containing headgroup of gangliosides, galactosylceramide, and phosphoinositol assisted binding, but in a much less cholesterol- and cytoskeleton-dependent manner. The observed anomalous diffusion indicates lipid-specific transient hydrogen bonding to other membrane molecules, such as proteins, and points to a distinct connectivity of the various lipids to other membrane constituents. This strong interaction is different from that responsible for forming cholesterol-dependent, liquid-ordered domains in model membranes.