The ability to detect low concentrations of analytes and in particular low‐abundance biomarkers is of fundamental importance, e.g., for early‐stage disease diagnosis. The prospect of reaching the ultimate limit of detection has driven the development of single‐molecule bioaffinity assays. While many review articles have highlighted the potentials of single‐molecule technologies for analytical and diagnostic applications, these technologies are not as widespread in real‐world applications as one should expect. This Review provides a theoretical background on single‐molecule—or better digital—assays to critically assess their potential compared to traditional analog assays. Selected examples from the literature include bioaffinity assays for the detection of biomolecules such as proteins, nucleic acids, and viruses. The structure of the Review highlights the versatility of optical single‐molecule labeling techniques, including enzymatic amplification, molecular labels, and innovative nanomaterials.