The dynamics of Vertical-Cavity Surface-Emitting Lasers (VCSELs) are affected by the presence of external perturbations. As most semiconductor lasers, VCSELs exhibit an interesting dynamical behavior that is further enriched by the polarization degree of freedom, due to the cylindrical symmetry of these devices. Here, we study the influence of external current noise and external optical feedback on the dynamical properties of VCSELs, including the relaxation oscillation dynamics, polarization mode dynamics and delay induced instabilities. The consideration of noise, both in experiments and modelling, is of critical importance for the understanding of semiconductor lasers. According to our results, current noise has an ambivalent character since noise has a damping effect on the relaxation oscillation dynamics but a destabilizing effect in some types of feedback-induced dynamics.