The incorporation of functional colloidal building blocks into polyelectrolyte multilayers provides the films with a higher level of hierarchy and separate compartments. The simplicity of the layer-by-layer approach meets the complexity of supramolecular aggregates, such as micelles or vesicles from block copolymers, thereby opening a venue towards functional coatings with new functionality at the interface. The scope of this progress report is to highlight recent developments in the incorporation of polymeric micellar and vesicular aggregates into functional and hierarchically structured multilayer films. The stability and functionality of these films, especially in terms of responsiveness, are discussed on the basis of their physico-chemical properties and compared to films containing low molecular weight aggregates. Particular emphasis is on coatings with a reversible response to external signals, rendering these films potential surface-mediated drug delivery systems with the possibility of refilling hydrophobic and/or hydrophilic reservoirs. Finally, prospects of future developments are given based on recent advances in synthetic polymer chemistry.