Tracking of single particles in optical microscopy has been employed in studies ranging from material sciences to biophysics down to the level of single molecules. The technique intrinsically circumvents ensemble averaging and may therefore reveal directly mechanistic details of the involved dynamic processes. Such processes range from translational and rotational motion to spectral dynamics. We distinguish between conventional a posteriori tracking of objects (e.g. from the sequences of images) and the experimentally more refined 'on-the-fly' tracking technique. In this technique, the observation volume of the microscope is kept centred with respect to the moving object via a feedback algorithm. This approach brings a series of advantages in comparison with the tracking from images, ranging from a superior spatio-temporal resolution (2-50nm and 1-32ms) to the capability of inferring additional data (e.g. fluorescence lifetime, emission spectrum, polarization, intensity dynamics) from an object as it moves over several microns in three dimensions. In this contribution, we describe the principle of the tracking technique as implemented on a two-photon laser scanning microscope and illustrate its capabilities with experimental data, from particles labelled with different dyes moving in a liquid to the characterization of small fluorescently labelled protein assemblies in living cells.