The meaning of the microcanonical and canonical ensembles is discussed in connection with the study of physical properties of small systems. Parallel tempering Monte Carlo is then applied to study the (H2O)(4) and (H2O)(8) clusters. The results show that the ensembles give similar average structural properties, but the canonical energy fluctuations are much larger than their microcanonical counterpart. These larger fluctuations are analyzed in terms of the thermal bath implicitly present in the canonical simulations. (C) 2002 Elsevier Science B.V. All rights reserved.