Biogenesis and trafficking of membrane vesicles are essential and well-studied processes in eukaryotes. In contrast, vesiculation in bacteria is not well understood. Outer membrane vesicles (OMVs) are produced in Gram-negative bacteria by blebbing of the outer membrane. In addition to the roles in pathogenesis, cell-to-cell communication and stress response, recent work has suggested that OMVs play important roles in immunomodulation and the establishment and balance of the gut microbiota. In this review we discuss the known and novel roles of OMVs and the different biogenesis models proposed, and address the evidence for cargo selection into OMVs. We also discuss the growing evidence for the existence of membrane vesicles in Gram-positive bacteria and Archaea. Due to their biological importance and promising applications in vaccinology, the biogenesis of OMVs is an important topic in microbiology.