Transdermal drug delivery (TDD) is an attractive approach to minimize the limitations encountered by other drug administration routes such as oral and parenteral. Apart from specialized devices fabricated for modifying the barrier properties of the stratum corneum such as iontophoresis, sonophoresis and microneedles, there are several passive methods applied through physicochemical manipulations in drug formulation, including prodrugs, ion-pairs, supersaturated solutions, inclusion complexes, eutectic mixtures, ionic liquids and use of chemical penetration enhancers. More recently, colloidal carriers due to their small size, high specific surface area, unique structural and biochemical features, are suggested for the skin penetration enhancement through transcellular or shunt routes. This review considers challenges and achievements of colloidal TDD systems, either used alone or in combination with other techniques, with a special concern about lipid-based vesicular nanocarriers including liposomes, niosomes, transfersomes, pharmacosomes, ethosomes, catesomes, and invasomes. Undoubtedly, understanding interplay between physicochemical properties and the underlying mechanisms of skin penetration enhancement is a prerequisite for optimized TDD applications.