Insight into the forces governing a system is essential for understanding its behavior and function. Thermodynamic investigations provide a wealth of information that is not, or is hardly, available from other methods. This article reviews thermodynamic approaches and assays to measure collective properties such as heat adsorption / emission and volume variations. These methods can be successfully applied to the study of lipid vesicles (liposomes) and biological membranes. With respect to instrumentation, differential scanning calorimetry, pressure perturbation calorimetry, isothermal titration calorimetry, dilatometry, and acoustic techniques aimed at measuring the isothermal and adiabatic processes, two- and three-dimensional compressibilities are considered. Applications of these techniques to lipid systems include the measurement of different thermodynamic parameters and a detailed characterization of thermotropic, barotropic, and lyotropic phase behavior. The membrane binding and / or partitioning of solutes (proteins, peptides, drugs, surfactants, ions, etc.) can also be quantified and modeled. Many thermodynamic assays are available for studying the effect of proteins and other additives on membranes, characterizing non-ideal mixing, domain formation, bilayer stability, curvature strain, permeability, solubilization, and fusion. Studies of membrane proteins in lipid environments elucidate lipid–protein interactions in membranes. Finally, a plethora of relaxation phenomena toward equilibrium thermodynamic structures can be also investigated. The systems are described in terms of enthalpic and entropic forces, equilibrium constants, heat capacities, partial volume changes, volume and area compressibility, and so on, also shedding light on the stability of the structures and the molecular origin and mechanism of the structural changes.