Massive and complex data present new challenges that conventional sparse penalized mean regressions, such as the penalized least squares, cannot fully solve. For example, in high-dimensional data, non-constant variance, or heteroscedasticity, is commonly present but often receives little attention in penalized mean regressions. Heavy-tailedness is also frequently encountered in many high-dimensional scientific data. To resolve these issues, unconventional sparse regressions such as penalized quantile regression and penalized asymmetric least squares are the appropriate tools because they can infer the complete picture of the entire probability distribution. Asymmetric least squares regression has wide applications in statistics, econometrics and finance. It is also an important tool in analyzing heteroscedasticity and is computationally friendlier than quantile regression. The existing work on asymmetric least squares only considers the traditional low dimension and large sample setting. We systematically study the Sparse Asymmetric LEast Squares (SALES) under high dimensionality and fully explore its theoretical and numerical properties. SALES may fail to tell which variables are important for the mean function and which variables are important for the scale/variance function, especially when there are variables that are important for both mean and scale. To that end, we further propose a COupled Sparse Asymmetric LEast Squares (COSALES) regression for calibrated heteroscedasticity analysis. Penalized quantile regression has been shown to enjoy very good theoretical properties in the literature. However, the computational issue of penalized quantile regression has not yet been fully resolved in the literature. We introduce fast alternating direction method of multipliers (ADMM) algorithms for computing penalized quantile regression with the lasso, adaptive lasso, and folded concave penalties. The convergence properties of the proposed algorithms are established and numerical experiments demonstrate their computational efficiency and accuracy. To efficiently estimate coefficients in high-dimensional linear models without prior knowledge of the error distributions, sparse penalized composite quantile regression (CQR) provides protection against significant efficiency decay regardless of the error distribution. We consider both lasso and folded concave penalized CQR and establish their theoretical properties under ultrahigh dimensionality. A unified efficient numerical algorithm based on ADMM is also proposed to solve the penalized CQR. Numerical studies demonstrate the superior performance of penalized CQR over penalized least squares under many error distributions.