Interface-selective vibrational sum frequency generation (VSFG) spectroscopy is a unique and powerful tool for the research in interface science. In particular, structures of water at various interfaces have been discussed based on VSFG spectroscopy. However, in conventional VSFG spectroscopy, only intensity of the sum frequency light is measured and therefore it provides only the modulus square of a second-order nonlinear susceptibility (|χ(2)|2). This results in a few serious drawbacks. First, sign of χ(2) is lost, which means we lose information about polar orientation at the interface. Second, interpretation of |χ(2)|2 spectrum is very complicated due to the spectral deformation caused by interference between neighboring resonances. To solve these problems, it is essential to measure complex χ(2) directly. Recently, we have developed multiplex heterodyne-detection of VSFG (HD-VSFG), which enables us to measure complex χ(2). Furthermore, because our HD-VSFG spectroscopy employs femtosecond infrared light, it can be extended to ultrafast time-resolved measurements by combining with pump-probe technique. Using this novel technique, we have been studying the structure and dynamics of water at various interfaces. This review article overviews our current understanding of the structure and dynamics of water at interfaces and the recent debate on the “ice-like” model of interfacial water.