We investigate the dependence of single-particle diffusion coefficients on the size and shape of the simulation box in molecular dynamics simulations of fluids and lipid membranes. We find that the diffusion coefficients of lipids and a carbon nanotube embedded in a lipid membrane diverge with the logarithm of the box width. For a neat Lennard-Jones fluid in flat rectangular boxes, diffusion becomes anisotropic, diverging logarithmically in all three directions with increasing box width. In elongated boxes, the diffusion coefficients normal to the long axis diverge linearly with the height-to-width ratio. For both lipid membranes and neat fluids, this behavior is predicted quantitatively by hydrodynamic theory. Mean-square displacements in the neat fluid exhibit intermediate regimes of anomalous diffusion, with t ln t and t(3/2) components in flat and elongated boxes, respectively. For membranes, the large finite-size effects, and the apparent inability to determine a well-defined lipid diffusion coefficient from simulation, rationalize difficulties in comparing simulation results to each other and to those from experiments.