Single-particle optical investigations have greatly improved our understanding of the fundamental properties of nano-objects, avoiding the spurious inhomogeneous effects that affect ensemble experiments. Correlation with high-resolution imaging techniques providing morphological information (e.g., electron microscopy) allows a quantitative interpretation of the optical measurements by means of analytical models and numerical simulations. In this topical review, we first briefly recall the principles underlying some of the most commonly used single-particle optical techniques: near-field, dark-field, spatial modulation and photothermal microscopies/spectroscopies. We then focus on the quantitative investigation of the surface plasmon resonance (SPR) of metallic nano-objects using linear and ultrafast optical techniques. While measured SPR positions and spectral areas are found in good agreement with predictions based on Maxwell's equations, SPR widths are strongly influenced by quantum confinement (or, from a classical standpoint, surface-induced electron scattering) and, for small nano-objects, cannot be reproduced using the dielectric functions of bulk materials. Linear measurements on single nano-objects (silver nanospheres and gold nanorods) allow a quantification of the size and geometry dependences of these effects in confined metals. Addressing the ultrafast response of an individual nano-object is also a powerful tool to elucidate the physical mechanisms at the origin of their optical nonlinearities, and their electronic, vibrational 2 and thermal relaxation processes. Experimental investigations of the dynamical response of gold nanorods are shown to be quantitatively modeled in terms of modifications of the metal dielectric function enhanced by plasmonic effects. Ultrafast spectroscopy can also be exploited to unveil hidden physical properties of more complex nanosystems. In this context, two-color femtosecond pump-probe experiments performed on individual bimetallic heterodimers are discussed in the last part of the review, demonstrating the existence of Fano interferences in the optical absorption of a gold nanoparticle under the influence of a nearby silver one.