The physiological importance of cholesterol in the cell plasma membrane has attracted increased attention in recent years. Consequently, the use of methods of controlled manipulation of membrane cholesterol content has also increased sharply, especially as a method of studying putative cholesterol-enriched cell membrane domains (rafts). The most common means of modifying the cholesterol content of cell membranes is the incubation of cells or model membranes with cyclodextrins, a family of compounds, which, due to the presence of relatively hydrophobic cavity, can be used to extract cholesterol from cell membranes. However, the mechanism of this activity of cyclodextrins is not completely established. Moreover, under conditions commonly used for cholesterol extraction, cyclodextrins may remove cholesterol from both raft and non-raft domains of the membrane as well as alter the distribution of cholesterol between plasma and intracellular membranes. In addition, other hydrophobic molecules such as phospholipids may also be extracted from the membranes by cyclodextrins. We review the evidence for the specific and non-specific effects of cyclodextrins and what is known about the mechanisms for cyclodextrin-induced cholesterol and phospholipid extraction. Finally, we discuss useful control strategies that may help to verify that the observed effects are due specifically to cyclodextrin-induced changes in cellular cholesterol.