Cyclodextrins are natural cyclic oligosaccharides widely used as "molecular cages" in the pharmaceutical, agrochemical, food and cosmetical industries. The optimization of their pharmacological properties has led to the synthesis of numerous analogues. Amphiphilic derivatives were designed to improve the cell targeting of the drug-containing cyclodextrin cavities through their transportation in the organism, within self-assembling systems. Amphiphilic cyclodextrins can self-assemble into water-soluble aggregates such as mono or polydisperse micelles, or insert in lipid membranes and liposomes. Polysubstituted amphiphilic cyclodextrins are briefly reviewed, and monosubstituted derivatives of native and methylated beta-cyclodextrins are presented in more details, with an emphasis on their self-organization within lipid membranes.