Over the past ten years, Scanning Transmission Electron Microscopes (STEM) fitted with Electron Energy Loss Spectroscopy (EELS) and/or Cathodoluminescence (CL) spectroscopy have demonstrated to be essential tools for probing the optical properties of nano-objects at sub-wavelength scales. Thanks to the possibility of measuring them at a nanometer scale in parallel to the determination of the structure and morphology of the object of interest, new challenging experimental and theoretical horizons have been unveiled. As regards optical properties of metallic nanoparticles, surface plasmons have been mapped at a scale unimaginable only a few years ago, while the relationship between the energy levels and the size of semiconducting nanostructures a few atomic layers thick could directly be measured. This paper reviews some of these highly stimulating recent developments.