Random walks can be used to describe processes in biology, chemistry, and physics, including chemical kinetics and polymer dynamics. In individual molecules, random walks appear when studying individual molecules, individual channels, individual biomolecules, individual enzymes, and quantum dots. Importantly, PDFs and special correlation functions can be easily calculated from single molecule measurements but not from ensemble measurements. This unique information can be used for discriminating between distinct random walk models that share some properties, and this demands a detailed theoretical analysis of random walk models. In this context, utilizing the information content in single molecule data is a matter of ongoing research.