A review of the observed space scales of the auroral features ranging from the whole auroral oval of bright discrete forms down to the nonlinear moving solitary structures with the scales of the order of Debye length is given. The characteristic physical scale which determines the generation process is indicated whenever possible. Some problems of the auroral theory and modeling are briefly discussed, and a cross-scale coupling between the auroral and magnetospheric altitudes is stressed. It becomes apparent that the first in situ studied real astrophysical plasma object-the Earth's magnetosphere/ionosphere/aurora-is a unified multi-scale system which seems to be ordered at large scales, but sometimes looks as nearly nondeterministic, or chaotic, at small scales. The most powerful processes in this system operate in a very wide range of scales, with multifarious cross-scale couplings. The statistical behavior of magnetospheric/auroral plasmas in the regions of active auroras often can be reasonably described as the near-critical state.