We will provide a review of some of the physics which can be addressed by studying fluctuations and correlations in heavy ion collisions. We will discuss Lattice QCD results on fluctuations and correlations and will put them into context with observables which have been measured in heavy-ion collisions. Special attention will be given to the QCD critical point and the first order co-existence region, and we will discuss how the measurement of fluctuations and correlations can help in an experimental search for non-trivial structures in the QCD phase diagram.