Cells from the three domains of life produce extracellular membrane vesicles (EMVs), suggesting that EMV production is an important aspect of cellular physiology. EMVs have been implicated in many aspects of cellular life in all domains, including stress response, toxicity against competing strains, pathogenicity, detoxification and resistance against viral attack. These EMVs represent an important mode of inter-cellular communication by serving as vehicles for transfer of DNA, RNA, proteins and lipids between cells. Here, we review recent progress in the understanding of EMV biology and their various roles. We focus on the role of membrane vesicles in early cellular evolution and how they would have helped shape the nature of the last universal common ancestor. A membrane-protected micro-environment would have been a key to the survival of spontaneous molecular systems and efficient metabolic reactions. Interestingly, the morphology of EMVs is strongly reminiscent of the morphology of some virions. It is thus tempting to make a link between the origin of the first protocell via the formation of vesicles and the origin of viruses.