The Standard Model has been enormously successful in describing the fundamental constituents of matter and their interactions. However, there are strong theoretical reasons why new phenomena should appear at energies of about a TeV. The Tevatron proton-antiproton collider is currently the only accelerator that has access to this energy range. The CDF detector is one of the two detectors analyzing the collisions in the Tevatron. I will review recent highlights from the CDF experiment on various searches for new particles, e.g. Higgs supersymmetric particles, new gauge bosons and extra dimensions.