Current efforts and success of nanoscale science and technology are related to the fabrication of functional materials and devices in which the individual units and their spatial arrangement are engineered down to the nanometer level. One promising way of achieving this goal is by assembling colloidal inorganic nanocrystals as the novel building blocks of matter. This trend has been stimulated by significant advances in the wet-chemical syntheses of robust and easily processable nanocrystals in a wide range of sizes and shapes. The increase in the degree of structural complexity of solution-grown nanostructures appears to be one of the natural directions towards which nanoscience will increasingly orient. Recently, several groups have indeed devised innovative syntheses of nanocrystals through which they have been able to group inorganic materials with different properties in the same particle. These approaches are paving the way to the development of nanosized objects able to perform multiple technological tasks. In this critical review (165 references), we will summarize the recent advances in the synthesis of colloidal nanocrystals, with emphasis on the strategies followed for the fabrication of nano-heterostructures, as well as on their properties and the perspectives in this field.