.Experiments performed on a wide range of glassy materials display many interesting phenomena, such as aging behavior. In recent years, a large body of experiments probed this nonequilibrium glassy dynamics through elaborate protocols, in which external parameters are shifted, or cycled in the course of the experiment. We review here these protocols, as well as experimental and numerical results. Then, we critically discuss various theoretical approaches put forward in this context. Emphasis is put more on the generality of the phenomena than on a specific system. Experiments are also suggested.