Investigation of fundamental limitations of heat to work conversion at the macroscale gave birth to the second law of classical thermodynamics. Recent years have witnessed an enormous effort to develop and describe microscopic heat engines based on systems as small as individual colloidal particles or quantum dots. At such scales, fluctuations are an inherent part of dynamics and thermodynamics. The fundamentally stochastic character of the second law then yields interesting implications on statistics of output power and efficiency of the small heat engines. The general properties, symmetries, and limitations of these statistics have become revealed, understood, and tested only during the last few years. Will their complete understanding ignite a similar revolution as the discovery of the second law? Here, we review the known general results concerning fluctuations in the performance of small heat engines. To make the discussion more transparent, we illustrate the main abstract findings on exactly solvable models and provide a thorough theoretical introduction for newcomers to the field.