Alter a brief discussion of the evolution of the particle concept from the Classical Physics up to nowadays, we present the new objects called "unparticles" that have been recently introduced in the framework of Quantum Field Theory. These excitations are related to a hidden sector provided by scale invariant theories. We have shown that the concept of unparticles can be extended to Quantum Mechanics when it presents scale invariance as is the case of the inverse square potential. These topics are introduced starting from the "Fourth" Law of Thermodynamics and the ideas of the Renormalization Group, going through the effective theory concept.