In efforts to understand the natural variability of the Earth climate system and the potential for future climate and environmental (e.g., biodiversity) changes, palaeodata play a key role by extending the baseline of environmental and climatic observations. Lake sediments, and particularly sediment archives of volcanic lakes, help to decipher natural climate variability at seasonal to millennial scales, and help identifying causal mechanisms. Their importance includes their potential to provide precise and accurate inter-archive correlations (e.g., based on tephrochronology) and to record cyclicity and high frequency climate signals. We present a few examples of commonly used techniques and proxy-records to investigate past climatic variability and its influence to the history of the lakes and of their biota. This paper is rather a presentation of potentials and limits of palaeolimnological and limnogeological research on crater lakes, than a pervasive review of palaeolimnological studies on crater lakes. We show the importance of seismic stratigraphy for the selection of coring sites, and discuss problems in core chronology. Then we give examples of physical and chemical proxies, including magnetism, micro-facies and oxygen and carbon stable isotopes from crater lake deposits mainly located in central and southern Europe. Finally, we present the use of air-transported (pollens) and lacustrine biological remains. The continuing need to develop new approaches and methods stimulated us to mention, as an example, the potential of the studies of subsurface biosphere, and the effects of microbiological metabolism on mineral diagenesis in sediments.