Microparticles are phospholipid vesicles shed mostly in biological fluids, such as blood or urine, by various types of cells, such as red blood cells (RBCs), platelets, lymphocytes, endothelial cells. These microparticles contain a subset of the proteome of their parent cell, and their ready availability in biological fluid has raised strong interest in their study, as they might be markers of cell damage. However, their small size as well as their particular physico-chemical properties makes them hard to detect, size, count and study by proteome analysis. In this review, we report the pre-analytical and methodological caveats that we have faced in our own research about red blood cell microparticles in the context of transfusion science, as well as examples from the literature on the proteomics of various kinds of microparticles.