Abstract: Blazars belong to a subclass of radio loud AGN with a relativistic jet closely aligned to our line of sight. They are characterized by highly variable non-thermal emission at almost all wavelengths. Similar to gamma-ray bursts, the studies of gamma-ray variability can shed light on gamma-ray emitting regions and production mechanisms in blazars in a relatively model-independent way. With its superior sensitivity, the Very Energetic Radiation Imaging Telescope Array System (VERITAS) provides us with an opportunity to study rapidly variable gamma-ray emission at TeV energies. In this talk, I will describe the VERITAS experiment and show some recent results from our studies of blazar variability that are based primarily on the VERITAS observations but are interpreted in a multi-wavelength context.