The review summarizes selected aspects of the electrochemical investigations on hydrogen absorption in palladium and its alloys prepared as thin layers deposited on a conductive substrate. This kind of electrodes is named “Limited Volume Electrodes” (LVEs). We demonstrate that LVEs methodology creates new possibilities for electrochemical studies on hydrogen-absorbing materials. In this paper we describe the procedures of preparation and characterization of Pd-based LVEs, and give a survey of the investigations on hydrogen electrosorption performed with the use of LVEs. We discuss the influence of such factors as electrode potential, temperature, electrolyte composition, electrode thickness and other experimental conditions on the process of hydrogen and deuterium absorption in Pd LVEs. The results concerning Pd alloys are thoroughly reviewed. The studies on thermodynamics, kinetics and mechanism of hydrogen electrosorption in Pd and its alloys are also summarized. An attention is paid to the examination of the interrelation between hydrogen absorption and other electrochemical processes taking place on LVEs. Finally, possible applications of the LVE methodology in the context of electrochemical power sources are mentioned.