In the current era of large-scale biology, proteomics has evolved as a powerful, new technique that aims to identify, quantify, and analyze a large number of proteins in a functional context. Therefore, proteomics can be used to study cellular pathways and identify disease biomarkers. In this review, we first outline the principles of two important proteomics techniques that either use difference gel electrophoresis (DIGE) or liquid chromatography (LC) for protein separation, followed by tandem mass spectrometry (MS/MS). The advantages and limitations of each technique are discussed, emphasizing the ability of DIGE to perform quantitative proteomics and the high-throughput and high-sensitivity characteristics of LC-MS/MS. We have employed both techniques to unravel the molecular machinery of vasopressin signaling, which governs water homeostasis by recruiting aquaporin-2 (AQP2) water channels after activation of the vasopressin-2 receptor by vasopressin. Several aspects of vasopressin signaling in the inner medullary collecting duct (IMCD) were investigated, including the short- and long-term regulation of AQP2, phosphoproteomics, signaling during vasopressin escape, and the proteomes of AQP2-bearing vesicles and the IMCD plasma membranes. We also emphasize that proteomics of body fluids will be the strategy to identify disease biomarkers, and therefore conclude the review by highlighting the perspectives of biomarker discovery in urinary exosomes.