Sampling is key in all fields where the world is analog, but computation is digital. The question is: When does a countable set of measurements allow a perfect and stable representation of a class of signals? We review sampling of finite rate of innovation (FRI) signals, which are non-bandlimited continuous-time signals with a finite parametric representation. This leads to sharp results on sampling and reconstruction and performance bounds on retrieving sparse continuous-time signals buried in noise. We then look at sampling problems where physics plays a central role. We consider the wave equation, and review the fact that wave fields are essentially bandlimited in space-time domain. This can be used in acoustic source localization problems. Then, in a diffusion equation scenario, so