Stochastic thermodynamics provides a framework for describing small systems embedded in a heat bath and externally driven to non-equilibrium [1]. Examples are colloidal particles in time-dependent optical traps, single biomolecules manipulated by optical tweezers or AFM tips, and motor proteins driven by ATP excess. A first-law like energy balance allows to identify applied work, dissipated heat and entropy production on the level of an individual stochastic trajectory. For non-equilibrium steady states (NESSs), total entropy production obeys a detailed fluctuation theorem even for finite times [2]. As an alternative to the phenomenological approach of introducing an effective temperature in order to adjust the equilibrium form of the fluctuation- dissipation theorem (FDT) to a NESS, we have derived a transparent general form of the FDT in a NESS [3]. Finally, generalized Green-Kubo relations hold true in NESSs under the weak assumption of local detailed balance [4]. Where available, these theoretical results will be illustrated using data from experimental model systems. [1] U.S., Eur. Phys. J. B, 64, 423, 2008. [2] U.S., Phys. Rev. Lett. 95, 040602, 2005. [3] U.S. and T. Speck, EPL 89, 10007, 2010. [4] U.S., Phys. Rev. Lett. 104, 138101, 2010.