In this Colloquium we discuss the anomalous kinetics of atoms in dissipative optical lattices, focusing on the ``Sisyphus" laser cooling mechanism. The cooling scheme induces a friction force that decreases to zero for high atomic momentum, which in turn leads to unusual statistical features. We study, using a Fokker-Planck equation describing the semi-classical limit of the system, the shallow optical lattice regime where the momentum distribution of the particles is heavy-tailed and the spatial diffusion is anomalous. As the depth of the optical lattice is tuned, transitions in the dynamical properties of the system occur, for example a transition from Gaussian diffusion to a Lévy walk and the breakdown of the Green-Kubo formula for the diffusion constant. Rare events, in both the momentum and spatial distributions, are described by non-normalized states, with tools adapted from infinite ergodic theory. We present experimental observations and elementary explanations for the physical mechanisms of cooling that lead to these anomalous behaviors, comparing theory with available experimental and numerical data.