When several atoms are placed close to each other, the resonant dipole-dipole interactionbetween atoms modifies the atomic properties and atoms behave collectively. These collective effects occur for interatomic distances on the order of l/(2Pi) where l is the wavelength of the atomic transition. The atomic density is then on the order of 10^14 at/cm^3. To create such cold atomic samples, we load optical tweezers with a microscopic size according to several loading schemes. One of them uses forced evaporative cooling and brings the atoms close to quantum degeneracy. We have used dense clouds containing a few hundred atoms with a high spatial density to demonstrate collective effects between the atoms. In particular, we have studied how these effects modify the scattering of light by the cloud. Besides, we have also measured for the first time the time-delay associated to the elastic scattering of light by a single rubidium atom, the so-called Wigner delay. We have shown that this delay is close to the theoretical prediction of twice the lifetime of the atomic transition (52 ns).