The development of probes for single-molecule imaging has dramatically facilitated the study of individual molecules in cells and other complex environments. Single-molecule probes ideally exhibit good brightness, uninterrupted emission, resistance to photobleaching, and minimal spectral overlap with cellular autofluorescence. However, most single-molecule probes are imperfect in several of these aspects, and none have been shown to possess all of these characteristics. Here we show that individual lanthanide-doped upconverting nanoparticles (UCNPs)--specifically, hexagonal phase NaYF(4) (beta-NaYF(4)) nanocrystals with multiple Yb(3+) and Er(3+) dopants--emit bright anti-Stokes visible upconverted luminescence with exceptional photostability when excited by a 980-nm continuous wave laser. Individual UCNPs exhibit no on/off emission behavior, or "blinking," down to the millisecond timescale, and no loss of intensity following an hour of continuous excitation. Amphiphilic polymer coatings permit the transfer of hydrophobic UCNPs into water, resulting in individual water-soluble nanoparticles with undiminished photophysical characteristics. These UCNPs are endocytosed by cells and show strong upconverted luminescence, with no measurable anti-Stokes background autofluorescence, suggesting that UCNPs are ideally suited for single-molecule imaging experiments.