Mixing enthalpies and densities of highly dilute aqueous solutions of five lactones (namely γ-butyrolactone (GBL), γ-valerolactone (GVL), αangelica lactone (AAL), γ-hexalactone (GHL), and δ-hexalactone (DHL)) were measured as a function of solution composition at several temperatures in the range from (288.15 to 318.15) K using a tandem flow arrangement of isothermal mixing microcalorimeter and vibrating-tube densimeter. The densities of the neat lactones were measured, also. The dissolution of the lactones in water was found to be exothermic (except for AAL at higher temperatures) and accompanied by volume contraction. On the basis of these systematic measurements, reliable values of partial molar excess enthalpy, partial molar volume, and partial molar excess volume of the studied solutes at infinite dilution in water were determined. Precision of our measurements allowed us to evaluate with a good accuracy also respective temperature derivative properties, that is, infinite dilution partial molar excess heat capacity, expansion, and excess expansion. The observed thermodynamic behavior was shown to be governed by hydrogen bonding of water molecules to the oxygen atoms of the lactone group. Several structural effects like those of the alkylation of lactone ring, its enlargement, the introduction of the double bond, and the lactone molecular volume on the determined properties were identified and rationalized on the molecular level.