The rise of human populations and the growth of cities contribute to the depletion of natural resources, increase their cost, and create potential climatic changes. To overcome difficulties in supplying populations and reducing the resource cost, a search for alternative pharmaceutical, nanotechnology, and energy sources has begun. Among the alternative sources, microalgae are the most promising because they use carbon dioxide (CO2) to produce biomass and/or valuable compounds. Once produced, the biomass is ordinarily harvested and processed (downstream program). Drying, grinding, and extraction steps are destructive to the microalgal biomass that then needs to be renewed. The extraction and purification processes generate organic wastes and require substantial energy inputs. Altogether, it is urgent to develop alternative downstream processes. Among the possibilities, milking invokes the concept that the extraction should not kill the algal cells. Therefore, it does not require growing the algae anew. In this review, we discuss research on milking of diatoms. The main themes are (a) development of alternative methods to extract and harvest high added value compounds; (b) design of photobioreactors; (c) biodiversity and (d) stress physiology, illustrated with original results dealing with oleaginous diatoms.