We introduce the mathematical concept of multifractality and describe various multifractal spectra for dynamical systems, including spectra for dimensions and spectra for entropies. We support the study by providing some physical motivation and describing several non-trivial examples. Among them are subshifts of finite type and one-dimensional Markov maps. An essential part of the paper is devoted to the concept of multifractal rigidity. In particular, we use the multifractal spectra to obtain a 'physical' classification of dynamical systems. For a class of Markov maps, we show that if the multifractal spectra for dimensions of two maps coincide, then the maps are differentiably equivalent. (orig.)SIGLEAvailable from TIB Hannover: RR 5549(2...