The much-improved experimental access to the thermal fluctuations of small systems and the formulation of the principles that govern both energy exchanges to shed light on the unique properties of microscopic systems was discussed. Thermal fluctuations can lead to observable and significant deviations from the system's average behavior. Random fluctuations dominate the thermal behavior in small systems. Fluctuation theorems embody recent developments toward a unified treatment of arbitrarily large fluctuations in small systems.