The interactions among the elementary components of many complex systems can be qualitatively different. Such systems are therefore naturally described in terms of multiplex or multi-layer networks, i.e. networks where each layer stands for a different type of interaction between the same set of nodes. There is today a growing interest in understanding when and why a description in terms of a multiplex network is necessary and more informative than a single-layer projection. Here, we contribute to this debate by presenting a comprehensive study of correlations in multiplex networks. Correlations in node properties, especially degree-degree correlations, have been thoroughly studied in single-layer networks. Here we extend this idea to investigate and characterize correlations between the different layers of a multiplex network. Such correlations are intrinsically multiplex, and we first study them empirically by constructing and analyzing several multiplex networks from the real-world. In particular, we introduce various measures to characterize correlations in the activity of the nodes and in their degree at the different layers, and between activities and degrees. We show that real-world networks exhibit indeed non-trivial multiplex correlations. For instance, we find cases where two layers of the same multiplex network are positively correlated in terms of node degrees, while other two layers are negatively correlated. We then focus on constructing synthetic multiplex networks, proposing a series of models to reproduce the correlations observed empirically and/or to assess their relevance.