In this paper we provide weighted estimates for rough operators, including rough homogeneous singular integrals $T_\Omega$ with $\Omega\in L^\infty(\mathbb{S}^{n-1})$ and the Bochner-Riesz multiplier at the critical index $B_{(n-1)/2}$. More precisely, we prove qualitative and quantitative versions of Coifman-Fefferman type inequalities and their vector-valued extensions, weighted $A_p-A_\infty$ strong and weak type inequalities for $1<p<\infty$, and $A_1-A_\infty$ type weak $(1,1)$ estimates. Moreover, Fefferman-Stein type inequalities are obtained, proving in this way a conjecture raised by the second-named author in the 90's. As a corollary, we obtain the weighted $A_1-A_\infty$ type estimates. Finally, we study rough homogenous singular integrals with a kernel involving a function $\Omega\in L^q(\mathbb{S}^{n-1})$, $1<q<\infty$, and provide Fefferman-Stein inequalities too. The arguments used for our proofs combine several tools: a recent sparse domination result by Conde-Alonso et.al. [CACDPO], results by the first author in [L], suitable adaptations of Rubio de Francia algorithm, the extrapolation theorems for $A_{\infty}$ weights [CMP,CGMP] and ideas contained in previous works by A. Seeger in [S] and D. Fan and S. Sato [FS].