The analysis of the intensity fluctuation of a fluorescence signal from a relatively small volume and from a few molecules contains information about the distribution of different species present in the solution and about kinetic parameters of the system. The same information is generally averaged out when the fluorescence experiment is performed in a much larger volume, typically a cuvette experiment. The fundamental reason for this difference is that the fluctuations of the fluorescence signal from a few molecules directly reflect the molecular nature of the matter. Only recently, with the advent of confocal microscopy and two-photon excitation, it has become practical to achieve small excitation volumes in which only a few fluorescent molecules are present. We introduce the concept of fluctuation spectroscopy and highlight some of the technical aspects. We discuss different analysis methods used in fluctuation spectroscopy and evaluate their use for studying protein-protein interactions.