In my lectures, I will try to illustrate how the astrophysical sources in our Universe can be understood in terms of basic physical concepts. For instance, the study of Active Galactic Nuclei, radiating over the entire electromagnetic spectrum, is an ideal laboratory in which we can actually observe the applications of theoretical concepts (such as Compton and synchrotron emission mechanisms). Indeed, a close contact between theory and observations is essential in order to advance in astrophysical research, and a coherent theoretical framework is required in order to interpret the wealth of observational data nowadays available.