We study theoretically and numerically a family of multi-point dynamic susceptibilities that quantify the strength and characteristic lengthscales of dynamic heterogeneities in glass-forming materials. We use general theoretical arguments (fluctuation-dissipation relations and symmetries of relevant dynamical field theories) to relate the sensitivity of averaged two-time correlators to temperature and density to spontaneous fluctuations of the local dynamics. Our theoretical results are then compared to molecular dynamics simulations of the Newtonian, Brownian and Monte-Carlo dynamics of two representative glass-forming liquids, a fragile binary Lennard-Jones mixture and a model for the strong glass-former silica. We justify in detail the claim made in [Science 310, 1797 (2005)], that the temperature dependence of correlation functions allows one to extract useful information on dynamic lengthscales in glassy systems. We also discuss some subtle issues associated to the choice of microscopic dynamics and of statistical ensemble through conserved quantities, which are found to play an important role in determining dynamic correlations.