Biological membranes mediate several biological processes that are directly associated with their physical properties but sometimes difficult to evaluate. Supported lipid bilayers (SLBs) are model systems widely used to characterize the structure of biological membranes. Cholesterol (Chol) plays an essential role in the modulation of membrane physical properties. It directly influences the order and mechanical stability of the lipid bilayers, and it is known to laterally segregate in rafts in the outer leaflet of the membrane together with sphingolipids (SLs). Atomic force microscope (AFM) is a powerful tool as it is capable to sense and apply forces with high accuracy, with distance and force resolution at the nanoscale, and in a controlled environment. AFM-based force spectroscopy (AFM-FS) has become a crucial technique to study the nanomechanical stability of SLBs by controlling the liquid media and the temperature variations. In this contribution, we review recent AFM and AFM-FS studies on the effect of Chol on the morphology and mechanical properties of model SLBs, including complex bilayers containing SLs. We also introduce a promising combination of AFM and X-ray (XR) techniques that allows for in situ characterization of dynamic processes, providing structural, morphological, and nanomechanical information.