Structural changes (martensitic transformation, rearrangements of martensitic variants) in shape memory alloys have an intermittent character that is accompanied by the emission of different (thermal, acoustic, and magnetic) noises, which are fingerprints of the driven criticality, resulting in a damped power-law behaviour. We will illustrate what kinds of important information can be obtained on the structural changes in shape memory alloys. It was established that the power exponents of distributions of acoustic emission (AE) parameters (energy, amplitude, etc.), belonging to martensitic transformations, show quite a universal character and depend only on the symmetry of the martensite. However, we have shown that the asymmetry of the transformation (the exponents are different for the forward and reverse transformations) results in as large differences as those due to the martensite symmetry. We will also demonstrate how the recently introduced AE clustering method can help to identify the different contributions responsible for the asymmetry. The usefulness of the investigations of time correlations between the subsequent events and correlations between acoustic and magnetic noise events in ferromagnetic shape memory alloys will be demonstrated too. Finally, examples of acoustic and magnetic emissions during variant rearrangements (superplastic or superelastic behaviour) in the martensitic state will be described.