The Archea lack peptidoglycan and have phospholipids in their cell membranes held together by ether bonds rather than the ester bonds found in bacterial and eukaryotic cell membranes.  They also have protein overlaying their cell wall rather than an outer membrane as in gram-negative cells, though they do stain gram-negative.

Mycoplasmas are the smallest bacterial cells (~2 um).  They have no cell wall and a cell membrane that contains the ring-shaped lipid cholesterol.  Neither gram-positive nor gram-negative cell membranes contain sterols.