AGN observations and evolutionary studies can be used to investigate the underlying physics, e.g. the physics of baryon transformation in galaxies and the cosmological framework. The SMBH/AGN/galaxy co-evolution depends on some physical mechanism ('feedback') linking accretion and ejection occurring on sub-parsec scale in galaxy nuclei to the transformations occurring in the rest of the galaxy. Indeed, AGN feedback is often invoked to explain the observed galaxy colors. Highly obscured AGN can pinpoint galaxies where nuclear accretion and star-formation is coeval, and mark the onset of AGN feedback. I will first discuss the case of Mark231, the nearest high-luminosity, highly obscured QSO, showing the first "direct" evidence of AGN energy deposition in the interstellar matter of its host galaxy. I will then present the search for highly obscured AGN at z=1-3, the golden epoch of AGN and galaxy activity. Finally, i will present a pilot program to push the search of moderately obscured AGN up to z=5-6 and discuss the cosmological perspectives of this line of research. Targeting high-z black holes, the structures with the fastest (exponential) growth rate, can help investigating the evolution of the Universe at those early epochs, because little differences in the time of expansion of the Universe can be significantly emphasized. By comparing the high-z SMBH mass function to model predictions we might disentangle competing cosmological scenarios.