Heat shock proteins (hsp) have been found to play a fundamental role in the recovery from multiple stress conditions and to offer protection from subsequent insults. The function of hsp during stress goes beyond their intracellular localization and chaperone role as they have been detected outside cells activating signaling pathways. Extracellular hsp are likely to act as indicators of the stress conditions, priming other cells, particularly of the immune system, to avoid the propagation of the insult. Some extracellular hsp, for instance Hsp70, are associated with export vesicles, displaying a robust activation of macrophages. We have coined the term Stress Observation System (SOS) for the mechanism for sensing extracellular hsp, which we propose is a form of cellular communication during stress conditions. An enigmatic and still poorly understood process is the mechanism for the release of hsp, which do not contain any consensus secretory signal. The export of hsp appears to be a very complex phenomenon encompassing different alternative pathways. Moreover, extracellular hsp may not come in a single flavor, but rather in a variety of physical conditions. This review addresses some of our current knowledge about the release and function of extracellular hsp, in particular those associated with vesicles.