The theme of this special issue is the necessity of a cosmopolitan turn in social and political theory. The question at the heart of this introductory chapter takes the challenge of ‘methodological cosmopolitanism’, already addressed in a Special Issue on Cosmopolitan Sociology in this journal (Beck and Sznaider 2006), an important step further: How can social and political theory be opened up, theoretically as well as methodologically and normatively, to a historically new, entangled Modernity which threatens its own foundations? How can it account for the fundamental fragility, the mutability of societal dynamics (of unintended side-effects, domination and power), shaped by the globalization of capital and risks at the beginning of the twenty-first century? What theoretical and methodological problems arise and how can they be addressed in empirical research? In the following, we will develop this ‘cosmopolitan turn’ in four steps: firstly, we present the major conceptual tools for a theory of cosmopolitan modernities; secondly, we de-construct Western modernity by using examples taken from research on individualization and risk; thirdly, we address the key problem of methodological cosmopolitanism, namely the problem of defining the appropriate unit of analysis; and finally, we discuss normative questions, perspectives, and dilemmas of a theory of cosmopolitan modernities, in particular problems of political agency and prospects of political realization.