The theme of this special issue is the necessity of a cosmopolitan turn in social and political theory. The question at the heart of this introductory chapter takes the challenge of 'methodological cosmopolitanism', already addressed in a Special Issue on Cosmopolitan Sociology in this journal (Beck and Sznaider 2006), an important step further: How can social and political theory be opened up, theoretically as well as methodologically and normatively, to a historically new, entangled Modernity which threatens its own foundations? How can it account for the fundamental fragility, the mutability of societal dynamics (of unintended side effects, domination and power), shaped by the globalization of capital and risks at the beginning of the twenty-first century? What theoretical and methodological problems arise and how can they be addressed in empirical research? In the following, we will develop this 'cosmopolitan turn' in four steps: firstly, we present the major conceptual tools for a theory of cosmopolitan modernities; secondly, we de-construct Western modernity by using examples taken from research on individualization and risk; thirdly, we address the key problem of methodological cosmopolitanism, namely the problem of defining the appropriate unit of analysis; and finally,we discuss normative questions, perspectives, and dilemmas of a theory of cosmopolitan modernities, in particular problems of political agency and prospects of political realization.