In vivo microdialysis allows sampling of brain regions in conscious, freely moving animals. Moreover, the in vivo microdialysis allows to administer drugs directly into specific brain areas. Both are useful in behavioral studies. The subject of this review is the methodology of brain microdialysis, that is construction of the probe, effect of temperature, composition of the perfusion medium, perfusion flow rate, characteristics of the membrane material and the role of the diffusion coefficient. Other techniques of the study of in vivo release, alternative for microdialysis, are described. Advantages and disadvantages of acute and chronic microdialysis are discussed. Chronic microdialysis is especially needed in behavioral studies. Finally, the examples of application of microdialysis in behavioral studies of vasopressin (AVP) and oxytocin (OXT) and our own experience in these studies are described.