Body fluid sampling device comprising a skin-piercing element having a collection zone for receiving body fluid. In one embodiment, the collection zone includes a plurality of holes, e.g., 3 or more holes, or 50 to 100 holes. The hole size may be small, e.g., having a diameter of 0.01 to 0.5 mm. The holes may or may not extend through the lancet. In some embodiments, the holes have a depth of 50 to 500 μm. In other embodiments, the collection zone is porous, or is a roughened area. The collection zone can take up a very small volume of body fluid, e.g., 3 to 10 nL, in a very short time period, e.g., less than 0.5 seconds. In other embodiments, the device further comprises a fluid receiving means spaced apart from the collection zone so that body fluid in the collection zone will not contact the fluid receiving means initially.