My thesis concerns the application of optical spectroscopy to transition metals, heavy fermions and superconductors to explore and understand the electronic properties of these materials. It includes the magnetic materials FeGe, UG[e2] and Gd₅Si₂Ge₂, at low temperatures and the superconductor MgB₂. I present a detailed optical study of compounds from the 3 main categories of the periodic system: iron series, actinides and rare earth elements represented by Fe, U and Gd atoms. In FeGe, with Tc=280K, I find a moderate mass enhancement below 100meV, indicating the formation of heavy electrons. Similar result I obtain for UG₂ with Tc=53K, except that temperature and energy scale are much lower 30meV. In addition I notice that the magnetic order triggers the transition into a state characterized by heavy and weakly scattered charge carriers. For Gd₅Si₂Ge₂, with Tc=267K, I provide an original evidence for a new phase transition below 45K. In the last chapter of my thesis I present optical experiments on two-band superconductor MgB₂. The optical data are in excellent agreement with the ab-initio calculations (plasma frequency interband transitions, electron-phonon, interaction) thereby resolving a controvercy reflecting the optical properties of this material. These data also tell us what is the "true" colour or rather color of MgB₂. I show experimentally that the colour of the sample depends on the polarization of the light: it is bluish-silver for Ella and yellow for Ellc.