Positron annihilation spectroscopy has been widely applied to study the microstructure in various insulators: polymers, oxides, ceramics, molecular substances, zeolites and so on. The most important experimental observation is that the positronium (Ps) can be formed in those materials and then localized in the regions with lower electron density. The Ps annihilation parameter is used to characterize the microstructure in nanometer scale, and related to physical and chemical properties of insulators. In this paper the Ps formation and localization, the Ps interaction with dopants and gases, the recent results in studying the free volume in polymers and micro-voids in porous materials will be briefly reviewed. The unique information explored by Ps probe and its fundamental importance and potential industrial application will be presented.