Membrane proteins have diverse functions within cells and are well-established drug targets. The advances in membrane protein structural biology have revealed drug and lipid binding sites on membrane proteins, while computational methods such as molecular simulations can resolve the thermodynamic basis of these interactions. Particularly, alchemical free energy calculations have shown promise in the calculation of reliable and reproducible binding free energies of protein-ligand and protein-lipid complexes in membrane-associated systems. In this review, we present an overview of representative alchemical free energy studies on G-protein-coupled receptors, ion channels, transporters as well as protein-lipid interactions, with emphasis on best practices and critical aspects of running these simulations. Additionally, we analyze challenges and successes when running alchemical free energy calculations on membrane-associated proteins. Finally, we highlight the value of alchemical free energy calculations calculations in drug discovery and their applicability in the pharmaceutical industry.