Particle swarm optimization (PSO) is a swarm intelligence technique originally inspired by models of flocking and of social influence that assumed homogeneous individuals. During its evolution to become a practical optimization tool, some heterogeneous variants have been proposed. However, heterogeneity in PSO algorithms has never been explicitly studied and some of its potential effects have therefore been overlooked. In this paper, we identify some of the most relevant types of heterogeneity that can be ascribed to particle swarms. A number of particle swarms are classified according to the type of heterogeneity they exhibit, which allows us to identify some gaps in current knowledge about heterogeneity in PSO algorithms. Motivated by these observations, we carry out an experimental study of two heterogeneous particle swarms each of which is composed of two kinds of particles. Directions for future developments on heterogeneous particle swarms are outlined.