Over the past few years, many studies have been performed involving the application of the Layer-by-Layer (LbL) deposition of oppositely charged polyelectrolytes onto charged colloidal particles, followed by the dissolution of the templates, ultimately resulting in polyelectrolyte multilayer microcapsules. The ease of preparation of polyelectrolyte multilayer microcapsules afforded by the LbL self-assembly technique, as well as the advantages of accurate control over size, composition, and the thickness of the multilayer shell make these capsules very promising for a number of applications in materials and biomedical science. In this review, we describe the assembly and stimuli-responsive properties ("smart" capsules) of polyelectrolyte multilayer microcapsules, and also discuss the potential of this technique in regard to biomedical applications. In addition, we illustrate two measurement techniques for determining the mechanical properties of polyelectrolyte multilayer microcapsules-(i) osmotic swelling and (ii) AFM compression experiments. These capsules are believed to have great potential for future applications, including biosensors, bioreactors, and carriers for targeted drug delivery.