Several recent progress on the theoretical side suggest that the Dark Matter, Dark Energy and maybe Dark Radiation sectors could have a richer phenomenology than expected a decade ago, and affect the evolution of cosmological perturbations in non-trivial ways, even on linear scales. To make the best use of current and future data, one needs to face several theoretical and computational challenges, not only at the level of N-body simulations, but also as far as linear scale simulations and data fitting are concerned. I will illustrate this with a few example, picked up especially in the Dark Matter sector.