The plasma membrane is of central importance for defining the closed volume of cells in contradistinction to the extracellular environment. The plasma membrane not only serves as a boundary, but it also mediates the exchange of physical and chemical information between the cell and its environment in order to maintain intra- and intercellular functions. Artificial lipid- and cell-derived membrane vesicles have been used as closed-volume containers, representing the simplest cell model systems to study transmembrane processes and intracellular biochemistry. Classical examples are studies of membrane translocation processes in plasma membrane vesicles and proteoliposomes mediated by transport proteins and ion channels. Liposomes and native membrane vesicles are widely used as model membranes for investigating the binding and bilayer insertion of proteins, the structure and function of membrane proteins, the intramembrane composition and distribution of lipids and proteins, and the intermembrane interactions during exo- and endocytosis. In addition, natural cell-released microvesicles have gained importance for early detection of diseases and for their use as nanoreactors and minimal protocells. Yet, in most studies, ensembles of vesicles have been employed. More recently, new micro- and nanotechnological tools as well as novel developments in both optical and electron microscopy have allowed the isolation and investigation of individual (sub)micrometer-sized vesicles. Such single-vesicle experiments have revealed large heterogeneities in the structure and function of membrane components of single vesicles, which were hidden in ensemble studies. These results have opened enormous possibilities for bioanalysis and biotechnological applications involving unprecedented miniaturization at the nanometer and attoliter range. This review will cover important developments toward single-vesicle analysis and the central discoveries made in this exciting field of research.