Transition metal oxides show fascinating physical properties such as high temperature superconductivity, ferro- and antiferromagnetism, ferroelectricity or even multiferroicity. The enormous progress in oxide thin film technology allows us to integrate these materials with semiconducting, normal conducting, dielectric or non-linear optical oxides in complex oxide heterostructures, providing the basis for novel multi-functional materials and various device applications. Here, we report on the combination of ferromagnetic, semiconducting, metallic, and dielectric materials properties in thin films and artificial heterostructures using laser molecular beam epitaxy. We discuss the fabrication and characterization of oxide-based ferromagnetic tunnel junctions, transition metal-doped semiconductors, intrinsic multiferroics, and artificial ferroelectric/ferromagetic heterostructures - the latter allow for the detailed study of strain effects, forming the basis of spin-mechanics. For characterization we use X-ray diffraction, SQUID magnetometry, magnetotransport measurements, and advanced methods of transmission electron microscopy with the goal to correlate macroscopic physical properties with the microstructure of the thin films and heterostructures.