A review of recent applications of Raman spectroscopy as a fast, sensitive, and non-destructive technique for exploring II–VI semiconductor nanocrystals fabricated by various methods (colloidal chemistry, Langmuir–Blodgett method, diffusion-limited growth) is presented. Specific size-related features revealed in the nanocrystal Raman spectra (phonon confinement, surface phonons) are analysed, as well as more complicated size effects for ultrasmall nanocrystals (NCs) related to the activation of the phonon density of states modified by surface reconstruction. Similarities and differences of the Raman scattering in II–VI and III–V or elemental (Si) semiconductor NCs are briefly analysed. Implementation of resonant conditions and application of infrared absorption analysis, complementary to the Raman spectroscopy—resulting in the observation of phonon modes ‘silent’ in conventional Raman scattering processes—are discussed. Furthermore, Raman spectroscopy is employed for fast and efficient assessment of the composition of matrix-embedded ternary II–VI nanocrystals, as well as more complicated multimode quaternary II–VI systems. Selective probing of electronic and vibrational spectra of different parts of heterogeneous NCs (such as core–shell systems) by tuning the excitation wavelength in resonant Raman scattering is considered. The analysis of phonon spectra is applied to the quantitative estimation of strain in the core and shell, and degree of interface intermixing, as well as to checking the surface oxidation. The above approaches and phenomena are further explored in more complex compound NCs beyond II–VI, such as CuInS2/ZnS. Recent results in the field of surface- and tip-enhanced Raman spectroscopy and surface-enhanced infrared absorption are analysed showing the perspectives of Raman spectroscopy as a tool for investigation of single-nanocrystal phonon spectra.