The role of volatiles in magma dynamics and eruption style is fundamental. Magmatic volatiles partition between melt, crystal, and vapor phases and, in so doing, change magma properties. This has consequences for magma buoyancy and phase equilibria. An exsolved vapor phase, which may be distributed unevenly through reservoirs, contains sulfur and metals that are either transported into the atmosphere or into ore deposits. This article reviews the controls on volatile solubility and the methods to reconstruct the volatile budget of magmas, focusing particularly on the exsolved vapor phase to explore the role of volatiles on magma dynamics and on eruption style.