Liechtenstein was actually under various powers for large parts of its existence. The people of Liechtenstein originated from the Alemanni tribe that came into the region around 500 CE. In Medieval times, the land which current Liechtenstein represents was incorporated into the Carolingian empire under the duchy of Swabia. Liechtenstein was, however, invaded by Austria and Sweden in the 17th century, but Prince Johann of Liechtenstein acquired the domain Schellenberg and the country Vaduz, which were under Imperial sovereignty (he had to have lands of that sort, or else he couldn't have acquisitioned a seat in the Imperial Diet. The HR Emperor at the time, Charles VI, dictated in 1719 that Vaduz and Schellenberg be promoted to principalities with the name Liechtenstein for his servant, Anton of Liechtenstein.

Liechtenstein joined Napoleon in 1806 following the Confederation of the Rhine and the dissolution of the HRE. It retained its independence only because Charles VI had granted it the highest status as a result of the acquisition of Schellenberg and Vaduz. It was lucky to have retained its independence after 1815, but it joined the German Confederation soon afterward.

It claimed neutrality in WWI, but was nonetheless in close ties with Austria following the war's conclusion, and became consequently the victim of an economic embargo imposed by the Allies. As a result, Liechtenstein was forced to agree to a customs and monetary union with Switzerland.

Liechtenstein was lucky enough not to be taken over by Nazis in WWII, as the Prince's wife was Jewish. The downside was that Poland and Czechoslovakia seized large parts of Liechtensteinian dynasty hereditary (thanks to /u/Patarknight for the correction) lands, amounting to over 1600 km^2 .

It could well have sold itself to the highest bidder following the war as it found itself in dire financial straits, perhaps most highlighted by the sale of Ginevra de' Benci by Leonardo da Vinci. It prospered in the following decades, though.

Sources

http://www.infoplease.com/country/liechtenstein.html

http://www.nationsencyclopedia.com/Europe/Liechtenstein-HISTORY.html

hi!, there have been a couple of similar discussions about Liechtenstein in the past; see these for additional responses...

How have the micro/small states of Europe (Andorra, Liechtenstein, Luxembourg, Monaco, San Marino) remained sovereign states for so long?

How have relatively tiny and defenseless nations, such as Andorra or Liechtenstein, survived without being conquered by their larger neighbors?