The process of accretion powers the most energetic phenomena known in the Universe, from around supermassive black holes at the centers of galaxies (Active Galactic Nuclei; AGN), their stellar-mass analogues (X-ray binaries), as well as gamma-ray bursts. Thanks to both ground-based and space observatories, we have access now to large amounts of archival and "fresh" data covering the entire electromagnetic spectrum and accumulated over a very wide time interval, which are allowing us to study these phenomena with unprecedented details. In particular, building on these data, we are starting to address crucial key issues in order to better constrain the peculiar nature of these sources, their properties, their statistics, their evolution with cosmic time and their possible contribution to background radiations. In this seminar, I will focus on some examples from my research on AGN just to show not only the advancements but also the challenges we are currently facing to achieve a complete picture. Moreover, these examples can be seen as a proof of concept to describe the possibilities of astronomy today, and the discovery potential for the near future in the multi-frequency, multi-temporal and multi-messenger sky.