Solar wind is a highly turbulent medium exhibiting fluctuations ranging from the solar sidereal rotation period to proton and electron gyroperiods. Their amplitudes show remarkable scalings with frequency across more than seven decades, suggesting a self‐similar nature for these fluctuations. However, these fluctuations are not globally scale invariant and require a multifractal approach. Multifractality is closely related to intermittency, a phenomenon that has been studied in the solar wind for more than three decades. We now have a rather complete picture of the nature of the most intermittent events and the radial/latitudinal dependence of this phenomenon in the heliosphere. Parallel shocks, slow mode shocks or tangential discontinuities/current sheets identified as the border between adjacent flux tubes are the most intermittent structures within the low‐frequency turbulence. It is more complicated and fascinating to understand the nature of intermittent events at kinetic scales since they are directly related to dissipative phenomena and might be the key to understanding the dissipation mechanisms in the collisionless solar wind plasma. Unfortunately, we still do not have adequate plasma observations at kinetic scales to work on, but several studies, mostly numeric, have addressed this topic suggesting that discontinuities, small‐scale current sheets, and sites which are candidates for reconnection events might be regions where dissipative phenomena are at work with consequent plasma heating and acceleration. This review is intended to provide the reader with a quick overview on the past and most recent understanding of intermittency phenomenon in the solar wind from fluid to kinetic scales.