The mobility of membrane proteins is a critical determinant of their interaction capabilities and protein functions. The heterogeneity of cell membranes imparts different types of motion onto proteins; immobility, random Brownian motion, anomalous sub-diffusion, 'hop' or confined diffusion, or directed flow. Quantifying the motion of proteins therefore enables insights into the lateral organisation of cell membranes, particularly membrane microdomains with high viscosity such as lipid rafts. In this review, we examine the hypotheses and findings of three main techniques for analysing protein dynamics: fluorescence recovery after photobleaching, single particle tracking and fluorescence correlation spectroscopy. These techniques, and the physical models employed in data analysis, have become increasingly sophisticated and provide unprecedented details of the biophysical properties of protein dynamics and membrane domains in cell membranes. Yet despite these advances, there remain significant unknowns in the relationships between cholesterol-dependent lipid microdomains, protein-protein interactions, and the effect of the underlying cytoskeleton. New multi-dimensional microscopy approaches may afford greater temporal and spatial resolution resulting in more accurate quantification of protein and membrane dynamics in live cells.