Superconducting Quantum Interference Devices (SQUIDs) are one of the most popular devices in superconducting electronics. They combine the Josephson effect with the quantization of magnetic flux in superconductors. This gives rise to one of the most beautiful manifestations of macroscopic quantum coherence in the solid state. In addition, SQUIDs are extremely sensitive sensors allowing to transduce magnetic flux into measurable electric signals. As a consequence, any physical observable that can be converted into magnetic flux, e.g., current, magnetization, magnetic field or position, becomes easily accessible to SQUID sensors. In the late 1980's it became clear that downsizing the dimensions of SQUIDs to the nanometric scale would encompass an enormous increase of their sensitivity to localized tiny magnetic signals. Indeed, nanoSQUIDs opened the way to the investigation of, e.g., individual magnetic nanoparticles or surface magnetic states with unprecedented sensitivities. The purpose of this review is to present a detailed survey of microscopic and nanoscopic SQUID sensors. We will start by discussing the principle of operation of SQUIDs, placing the emphasis on their application as ultrasensitive detectors for small localized magnetic signals. We will continue by reviewing a number of existing devices based on different kinds of Josephson junctions and materials, focusing on their advantages and drawbacks. The last sections are left for applications of nanoSQUIDs in the fields of scanning SQUID microscopy and magnetic particle characterization, putting special stress on the investigation of individual magnetic nanoparticles.