Blazars are the rarest and most powerful active galactic nuclei. Their emission is charcterized by variable, non-thermal radiation that extends over the entire electromagnetic spectrum, flat radio spectra, high and variable polarization, apparent superluminal motion, and high luminosities characterized by intense and rapid variability. These observational properties are generally interpreted in terms of a relativistic jet, launched from the central supermassive black hole, aligned within a small angle to our line of sight. In this talk I will present results concerning multi-wavelength study and identification of blazar and blazar candidates, useful to extend our current catalogs, to provide candidate counterparts to Unassociated Gamma-ray Sources (UGSs) detected by the Fermi satellite and to sources of high-energy neutrino emission or UHECRs. In particular I will discuss gamma-ray blazar candidates selected from Fermi UGSs through combined X-ray and IR observations. I will also present a catalog of blazar candidates selected from ALMA Calibrator Catalog, with a rich multi-wavelength dataset extending from radio to gamma-ray energies, filling in the gaps for low Galactic latitude sources in current blazar catalogs. Both these samples can be investigated both through dedicated optical spectroscopic observation campaigns or through repeated photometric observations for variability studies, like the WFD LSST survey. I will then show results from studies of the large scale environment of blazars and radio galaxies - whose jets happen to be misaligned with respect to our line of sight - aimed at the detection and characterization of extended X-ray emission (and its correlation with the radio structures) that represents the telltale signature of the presence of hot gas possibly connected with presence of galaxy clusters or groups hosting these sources.