The review highlights the application of Layer-by-Layer (LbL) structures for the design of chemical sensors. The first part of this review focuses on atomic and molecular layer deposition from vapor phase. In the second and third parts of the review we emphasize the formation of multilayers from solutions. LbL films and LbL prepared capsules are considered as elements of sensing systems. It is shown that LbL nanostructures can significantly increase sensitivity and selectivity of sensors and biosensors. Different materials for the multilayers’ formation, deposition techniques, and mechanisms for enhancement of the sensing properties are discussed.