Materials referred to as "high entropy" contain a large number of elements randomly distributed on the lattice sites of a crystalline solid, such that a high configurational entropy is presumed to contribute significantly to their formation and stability. High temperatures are typically required to achieve entropy stabilization, which can make it challenging to synthesize colloidal nanoparticles of high entropy materials. Nonetheless, strategies are emerging for the synthesis of colloidal high entropy nanoparticles, which are of interest for their synergistic properties and unique catalytic functions that arise from the large number of constituent elements and their interactions. In this Perspective, we highlight the classes of materials that have been made as colloidal high entropy nanoparticles as well as insights into the synthetic methods and the pathways by which they form. We then discuss the concept of "high entropy" within the context of colloidal materials synthesized at much lower temperatures than are typically required for entropy to drive their formation. Next, we identify and address challenges and opportunities in the field of high entropy nanoparticle synthesis. We emphasize aspects of materials characterization that are especially important to consider for nanoparticles of high entropy materials, including powder X-ray diffraction and elemental mapping with scanning transmission electron microscopy, which are among the most commonly used techniques in laboratory settings. Finally, we share perspectives on emerging opportunities and future directions involving colloidal nanoparticles of high entropy materials, with an emphasis on synthesis, characterization, and fundamental knowledge that is needed for anticipated advances in key application areas.