This review describes the advances in our understanding of the role of G-protein coupled receptor (GPCR) localisation in membrane microdomains known as lipid rafts and caveolae. The growing interest in these specialised regions is due to the recognition that they are involved in the regulation of a number of cell functions, including the fine-tuning of various signalling molecules. As a number of GPCRs have been found to be enriched in lipid rafts and/or caveolae by means of different experimental approaches, we first discuss the pitfalls and uncertainties related to the use of these different procedures. We then analyse the addressing signals that drive and/or stabilise GPCRs in lipid rafts and caveolae, and explore the role of rafts/caveolae in regulating GPCR trafficking, particularly in receptor exo- and endocytosis. Finally, we review the growing evidence that lipid rafts and caveolae participate in the regulation of GPCR signalling by affecting both signalling selectivity and coupling efficacy.