Fluctuations of the electrical current running through a nano-scale device reveal information beyond what is contained in the average current alone. In this talk I give an overview of my recent works on counting statistics, the stochastic theory of charge transport in nanostructures. I first discuss the theory behind a recent measurement of high-order current correlations (cumulants) in a quantum dot and show why the cumulants typically oscillate as functions of any system parameter. This generic behavior has important implications for recent proposals to measure entanglement entropy in a quantum point contact as I will discuss. Finally, I present experimental and theoretical results for the finite-frequency current correlations in a nano-scale system. Relevant papers: Phys. Rev. Lett. 100, 150601 (2008), Proc. Natl. Acad. Sci. USA 106, 10116 (2009), arXiv:1009.xxxx (2010)