Much of the interesting behavior that has been observed in supercooled liquids appears to be related to dynamic heterogeneity, the presence of distinct dynamic environments - with no apparent underlying structural basis - in these systems. To most directly interrogate these environments, proposed to span regions just a few nanometers across, molecular length scale probes are required. Single molecule fluorescent microscopy was introduced to the field a decade ago and has provided strong evidence of dynamic heterogeneity in supercooled systems. However, only more recently has the full set of challenges associated with interpreting results of these experiments been described. With a fuller understanding of these challenges in hand, single molecule measurements can be employed to provide a more precise picture of dynamic heterogeneity in supercooled liquids and other complex systems. In this tutorial review, experimental and data analysis details are presented for the most commonly employed single molecule approach to studying supercooled liquids, the measurement of rotational dynamics of single molecule probes. Guidance is provided in experimental set-up and probe selection, with a focus on choices that affect data interpretation and probe sensitivity to dynamic heterogeneity.