I've recently come across the Frostmann Lemma (http://en.wikipedia.org/wiki/Frostman_lemma). Its proof involves constructing a measure with certain properties on a given subset of $\mathbb{R}^n$ (I'm primarily interested in $n=1$ and compact subsets).
I'm interested in finding similar results, i.e. starting with some subset of $\mathbb{R}$ ($\mathbb{R}^n$), maybe some additional parameters and then constructing a measure with specific properties on that set.