Extracellular Vesicles (EVs) are small membrane-enclosed particles released by cells and able to vehiculate information between them. The term EVs categorizes many and different vesicles based on their biogenesis and release pathway, such as exosomes (Exo), ectosomes, or shedding microvesicles (SMVs), apoptotic blebs (ABs), and other EVs subsets, generating a heterogeneous group of components able to redistribute their cargo into the entire organism. Moreover EVs are becoming increasingly important in monitoring cancer progression and therapy, since they are able to carry specific disease biomarkers such as Glypican-1, colon cancer-associated transcript 2, CD63, CD24, and many others. The importance of their biological role together with their heterogeneity prompted researchers to adopt and standardize purification methods able to isolate EVs for characterizing their cargo. In this way, mass spectrometry (MS)-based proteomics approaches are emerging as promising tool for the identification and quantification of EVs protein cargoes, but this technique resulted to be deeply influenced by the low quality of the isolation techniques. This review presents the state-of-the-art of EVs isolation, purification, and characterization for omics studies, with a particular focus to their potential use in monitoring cancer progression and therapy.