Alzheimer\'s disease (AD) is the most common form of dementia, characterized by progressive cognitive impairment and neurodegeneration. Extensive clinical and genomic studies have revealed biomarkers, risk factors, pathways, and targets of AD in the past decade. However, the exact molecular basis of AD development and progression remains elusive. The emerging single-cell sequencing technology can potentially provide cell-level insights into the disease. Here we systematically review the state-of-the-art bioinformatics approaches to analyze single-cell sequencing data and their applications to AD in 14 major directions, including 1) quality control and normalization, 2) dimension reduction and feature extraction, 3) cell clustering analysis, 4) cell type inference and annotation, 5) differential expression, 6) trajectory inference, 7) copy number variation analysis, 8) integration of single-cell multi-omics, 9) epigenomic analysis, 10) gene network inference, 11) prioritization of cell subpopulations, 12) integrative analysis of human and mouse sc-RNA-seq data, 13) spatial transcriptomics, and 14) comparison of single cell AD mouse model studies and single cell human AD studies. We also address challenges in using human postmortem and mouse tissues and outline future developments in single cell sequencing data analysis. Importantly, we have implemented our recommended workflow for each major analytic direction and applied them to a large single nucleus RNA-sequencing (snRNA-seq) dataset in AD. Key analytic results are reported while the scripts and the data are shared with the research community through  GitHub. In summary, this comprehensive review provides insights into various approaches to analyze single cell sequencing data and offers specific guidelines for study design and a variety of analytic directions. The review and the accompanied software tools will serve as a valuable resource for studying cellular and molecular mechanisms of AD, other diseases, or biological systems at the single cell level.