You may have already read many times that the job of a Data Scientist is to skim through a huge amount of data searching for correlations between some variables of interest. And also, that one of his worst enemies (besides correlation doesn't imply causation) is spurious correlation. But what really is correlation? Are there several types of correlations? Some "good", some "bad"? What about their estimation? This talk will be a very visual presentation around the notion of correlation and dependence. I will first illustrate how the standard linear correlation is estimated (Pearson coefficient), then some more robust alternative: the Spearman coefficient. Building on the geometric understanding of their nature, I will present a generalization that can help Data Scientists to explore, interpret, and measure the dependence (not necessarily linear or comonotonic) between the variables of a given dataset. Financial time series (stocks, credit default swaps, fx rates), and features from the UCI datasets are considered as use cases.