This thesis is concerned with a number of novel uses of spatial coupling, applied to a class of probabilistic graphical models. These models include error correcting codes, random constraint satisfaction problems (CSPs) and statistical physics models called diluted spin systems. Spatial coupling is a technique initially developed for channel coding, which provides a recipe to transform a class of sparse linear codes into codes that are longer but more robust at high noise level. In fact it was observed that for coupled codes there are efficient algorithms whose decoding threshold is the optimal one, a phenomenon called threshold saturation. The main aim of this thesis is to explore alternative applications of spatial coupling. The goal is to study properties of uncoupled probabilistic models (not just coding) through the use of the corresponding spatially coupled models. The methods employed are ranging from the mathematically rigorous to the purely experimental. We first explore spatial coupling as a proof technique in the realm of LDPC codes. The Maxwell conjecture states that for arbitrary BMS channels the optimal (MAP) threshold of the standard (uncoupled) LDPC codes is given by the Maxwell construction. We are able to prove the Maxwell Conjecture for any smooth family of BMS channels by using (i) the fact that coupled codes perform optimally (which was already proved) and (ii) that the optimal thresholds of the coupled and uncoupled LDPC codes coincide. The method is used to derive two more results, namely the equality of GEXIT curves above the MAP threshold and the exactness of the averaged Bethe free energy formula derived under the RS cavity method from statistical physics. As a second application of spatial coupling we show how to derive novel bounds on the phase transitions in random constraint satisfaction problems, and possibly a general class of diluted spin systems. In the case of coloring, we investigate what happens to the dynamic and freezing thresholds. The phenomenon of threshold saturation is present also in this case, with the dynamic threshold moving to the condensation threshold, and the freezing moving to colorability. These claims are supported by experimental evidence, but in some cases, such as the saturation of the freezing threshold it is possible to make part of this claim more rigorous. This allows in principle for the computation of thresholds by use of spatial coupling. The proof is in the spirit of the potential method introduced by Kumar, Young, Macris and Pfister for LDPC codes. Finally, we explore how to find solutions in (uncoupled) probabilistic models. To test this, we start with a typical instance of random K-SAT (the base problem), and we build a spatially coupled structure that locally inherits the structure of the base problem. The goal is to run an algorithm for finding a suitable solution in the coupled structure and then "project" this solution to obtain a solution for the base problem. Experimental evidence points to the fact it is indeed possible to use a form of unit-clause propagation (UCP), a simple algorithm, to achieve this goal. This approach works also in regimes where the standard UCP fails on the base problem.