This thesis presents theoretical research on microscopic measuring devices and thermal machines constructed from single trapped atoms. We study several variants on this theme, with a particular emphasis on their application to ultracold atom physics. The first part of the thesis is about quantum refrigerators powered by thermal absorption rather than by external work. We propose and detail how such a machine may be practically constructed with a trapped atom placed inside an optical cavity, and employed to cool the atom close to absolute zero temperature using only collimated sunlight as an energy source. We then show that quantum absorption refrigerators in the strong-coupling regime exhibit coherent oscillations, thus enabling one to outperform a typical classical refrigerator by reaching lower temperatures than the steady state in a finite time using quantum coherence. The second part of the thesis studies the use of impurity atoms as probes of ultracold atomic gases. We discuss two different thermometry methods using impurities which are sensitive to temperature differences on the order of nanokelvin or less. We characterise the precision of the proposed thermometers by explicit calculations in the context of both weakly and strongly interacting atomic Bose gases. Finally, we study impurities immersed in a cold atomic Fermi gas realising a superfluid. We show that the impurities' energy dissipation rate probes the spectrum of density fluctuations in the gas, providing nondestructive access to various properties of the superfluid order parameter along the crossover from a Bardeen-Cooper-Schrieffer (BCS) state to a Bose-Einstein condensate (BEC).