The performance of bio-chemical sensing devices has been greatly improved by the development of surface plasmon resonance (SPR) based sensors. Advancements in micro- and nano-fabrication technologies have led to a variety of structures in SPR sensing systems being proposed. In this review, SPR sensors (from typical Kretschmann prism configurations to fiber sensor schemes) with micro- or nano-structures for local light field enhancement, extraordinary optical transmission, interference of surface plasmon waves, plasmonic cavities, etc. are discussed. We summarize and compare their performances and present guidelines for the design of SPR sensors.