Optical microscopy has for centuries been a key tool to study living cells with minimum invasiveness. The advent of single molecule techniques over the past two decades has revolutionized the field of cell biology by providing a more quantitative picture of the complex and highly dynamic organization of living systems. Amongst these techniques, single particle tracking (SPT) has emerged as a powerful approach to study a variety of dynamic processes in life sciences. SPT provides access to single molecule behavior in the natural context of living cells, thereby allowing a complete statistical characterization of the system under study. In this review we describe the foundations of SPT together with novel optical implementations that nowadays allow the investigation of single molecule dynamic events with increasingly high spatiotemporal resolution using molecular densities closer to physiological expression levels. We outline some of the algorithms for the faithful reconstruction of SPT trajectories as well as data analysis, and highlight biological examples where the technique has provided novel insights into the role of diffusion regulating cellular function. The last part of the review concentrates on different theoretical models that describe anomalous transport behavior and ergodicity breaking observed from SPT studies in living cells.