When cosmic dust particles were first identified almost 140 years ago, few would have predicted that much would ever be known about these miniscule objects, given the existing state of the art in analytical techniques. Times have changed. Today, in a single extraterrestrial dust particle, we can detect all the elements present, measure isotopic ratios, determine the exact crystalline structures of the minerals and the oxidation state of cations in those minerals, and even resolve individual atoms. The results are telling fascinating stories about the nature and histories of the particles that come to Earth. We review the most common techniques that help unravel these cosmic stories.