Unlike almost all other variants of scanning probe microscopy, scanning thermal microscopy allows sub-surface imaging of polymers and other solids to be performed. Although on its own it provides no information that could help with chemical fingerprinting or analysis, when combined with a microscopic Version of modulated-temperature differential scanning calorimetry (M-T DSC), the resulting simultaneous measurements of thermal data and spatial detail allow us to obtain useful data on the structure of polymer blends, phase separation, and the formation of diffuse interfaces. So far, for a number of polymers, we have performed localised calorimetric analysis to record events such as glass transitions, meltings, recrystallisations and thermal decomposition within volumes of material estimated at a few tens of cubic microns. Here we review our own work only, in order to introduce the CASM technique together with the results of preliminary studies. As introduction we include also some examples of relevant published work on polymer interfaces performed by means of the parent "bulk" thermal analysis technique (M-T DSC): the topics covered include miscibility, shifts in glass transition temperature as a diffuse interface is formed, and determination of weight fraction and thickness of the interface.