Complex oxides represent a class of materials with a plethora of fascinating, intrinsic physical functionalities. The intriguing interplay of charge, spin, and orbital ordering in these systems superimposed by lattice effects opens a scientifically rewarding playground for both fundamental and application-oriented research. In particular, the possibility of externally modifying the properties of thin-film complex oxides by epitaxial strain or artificial boundaries, and thus potentially generating novel properties at the interfaces between films, opens a new perspective. Here, the development of physical vapor deposition based preparation technologies for complex oxide thin films is reviewed, with examples taken from current research in high-temperature superconducting cuprates, magnetically ordered manganites, and Na-cobaltates. It covers the main trends of in situ process and growth control to fabricate single-crystal, single-layer thin films, heterostructures, and superlattices. Furthermore, using the combination of ferromagnetic and superconducting oxides as a case study, the emerging field of engineering the electronic structure at the interface, and thus design of new functionalities, is highlighted.