This paper presents review and comparison of alternative methodologies for control performance assessment. The approach uses nonlinear time series analysis, such as non-Gaussian statistics, fractal, crossover analysis, or entropy-based approaches. There is a presented practical rationale for the analysis. Evaluation is based on the real data gathered from industrial systems. Non-Gaussian analysis starts with statistical methods using different probabilistic distribution functions. As another potential measure, the Hurst exponent is calculated using different approaches. Finally, R/S plot analysis together with crossover point phenomenon discussion is presented. The paper ends with conclusions and presentation of open issues attractive for further development.