The recent observations of galaxy and dark matter clumpy distributions have provided new elements to the understanding of the problem of cosmological structure formation. The strong clumping characterizing galaxy structures seems to be present in the overall mass distribution and its relation to the highly isotropic Cosmic Microwave Background Radiation represents a fundamental problem. The extension of structures, the formation of power-law correlations characterizing the strongly clustered regime and the relation between dark and visible matter are the key problems both from an observational and a theoretical point of view. We discuss recent progresses in the studies of structure formation by using concepts and methods of statistical physics.