The Single Electron Transistor (SET), especially its variation the radio frequency single electron transistor (RF-SET), is a fast and ultra-sensitive electrometer working in the vicinity of the quantum limit. In this thesis, the theory and techniques related to the SET in the normal state and the superconducting state are introduced The thesis focuses especially on our efforts of improving the sensitivity of superconducting RF-SET, including: the design and fabrication of an all superconducting near loss-less matching network for improving the RF modulation, our early investigation of the sensitivity and linearity of a superconducting SET (S-SET) subject to quantum fluctuations of quasiparticles and Cooper pairs under different tunneling mechanisms, and our recent work approaching the quantum sensitivity limit using a double Josephson quasiparticle (DJQP) cycle of a S-SET. Using an effective bath description, we have found that the S-SET provides damping of the resonator modes proportional to its differential conductance, and has an effective temperature that can be well below both the ambient temperature and the energy scale of the bias voltage. In the region of negative differential conductance (NDC), the S-SET shows negative damping and a negative temperature. In the final part of the thesis, I have demonstrated our first application of an RF-SET for real-time detection of electron tunneling through a quantum dot.