Information theory, applied directly to measured signals, yields new perspectives on, and quantitative knowledge of, the physics of strongly nonlinear and turbulent phenomena in plasmas. It represents a new and productive element of the topical research programmes that use modem techniques to characterise strongly nonlinear signals from plasmas, and that address global plasma behaviour from a complex systems perspective. We here review some pioneering studies of mutual information in solar wind and magnetospheric plasmas, using techniques tested on standard complex systems.