Advanced spectral and statistical data analysis techniques have greatly contributed to shaping our understanding of microphysical processes in plasmas. We review some of themain techniques that allow for characterising fluctuation phenomena in geospace and in laboratory plasma observations. Special emphasis is given to the commonalities between different disciplines, which have witnessed the development of similar tools, often with differing terminologies. The review is phrased in terms of few important concepts: self-similarity, deviation from self-similarity (i.e. intermittency and coherent structures), wave-turbulence, and anomalous transport.