Cellular heterogeneity is an immanent property of biological systems that covers very different aspects of life ranging from genetic diversity to cell-to-cell variability driven by stochastic molecular interactions, and noise induced cell differentiation. Here, we review recent developments in characterizing cellular heterogeneity by distributions and argue that understanding multicellular life requires the analysis of heterogeneity dynamics at single cell resolution by integrative approaches that combine methods from non-equilibrium statistical physics, information theory and omics biology.