These lecture  give  a short review of methods such as the matrix ansatz, the additivity principle or the macroscopic fluctuation theory, developed recently in the theory of non-equilibrium phenomena. They show how these methods allow to calculate  the fluctuations and large deviations of the density and of the current  in non-equilibrium steady states of systems like exclusion processes. The properties of these fluctuations and large deviation functions in non-equilibrium steady states  (for example non-Gaussian fluctuations of density or non-convexity of the large deviation function which generalizes the notion of free energy)  are compared  with  those  of  systems at equilibrium.