Capsules of micron and sub-micron dimensions are abundant in nature in the form of bacterial or viral capsids and play an increasing role in modern technology for encapsulation and release of agents. The capsules' mechanical properties are of great importance in this context not only for stability but as well for transport properties in flow, rheology or adhesion. Thus, techniques that allow for single-capsule mechanical characterization have caught much attention recently and we summarize experimental developments in this field as well as theoretical background of capsule deformation with special attention to small deformation measurements. Deformation studies on polyelectrolyte multilayer capsules are introduced as a case study, since they can be tailored in their geometry and composition and are thus well-suited as a model system.