Cholesterol is a major constituent of the plasma membrane in eukaryotic cells. It regulates the physical state of the phospholipid bilayer and is crucially involved in the formation of membrane microdomains. Cholesterol also affects the activity of several membrane proteins, and is the precursor for steroid hormones and bile acids. Here, methods are described that are used to explore the binding and/or interaction of proteins to cholesterol. For this purpose, a variety of cholesterol probes bearing radio-, spin-, photoaffinity- or fluorescent labels are currently available. Examples of proven cholesterol binding molecules are polyene compounds, cholesterol-dependent cytolysins, enzymes accepting cholesterol as substrate, and proteins with cholesterol binding motifs. Main topics of this report are the localization of candidate membrane proteins in cholesterol-rich microdomains, the issue of specificity of cholesterol- protein interactions, and applications of the various cholesterol probes for these studies.