Brain-related neuronal recordings, such as local field potential, electroencephalogram and magnetoencephalogram, offer the opportunity to study the complexity of the human brain at different spatial and temporal scales. The complex properties of neuronal signals are intrinsically related to the concept of 'scale-free' behavior and irregular dynamic, which cannot be fully described through standard linear methods, but can be measured by nonlinear indexes. A remarkable application of these analysis methods on electrophysiological recordings is the deep comprehension of the pathophysiology of neurodegenerative diseases, that has been shown to be associated to changes in brain activity complexity. In particular, a decrease of global complexity has been associated to Alzheimer's disease, while a local increase of brain signals complexity characterizes Parkinson's disease. Despite the recent proliferation of studies using fractal and entropy-based analysis, the application of these techniques is still far from clinical practice, due to the lack of an agreement about their correct estimation and a conclusive and shared interpretation. Along with the aim of helping towards the realization of a multidisciplinary audience to approach nonlinear methods based on the concepts of fractality and irregularity, this survey describes the implementation and proper employment of the mostly known and applied indexes in the context of Alzheimer's and Parkinson's diseases.