  The Gr\"uneisen parameter, experimentally determined from the ratio of
thermal expansion to specific heat, quantifies the pressure dependence of
characteristic energy scales of matter. It is highly enhanced for Kondo lattice
systems, whose properties strongly dependent on the pressure sensitive
antiferromagnetic exchange interaction between f- and conduction electrons. In
this review, we focus on the divergence of the Gr\"uneisen parameter and its
magnetic analogue, the adiabatic magnetocaloric effect, for heavy-fermion
metals near quantum critical points. We compare experimental results with
current theoretical models, including the effect of strong geometrical
frustration. We also discuss the possibility to use materials with divergent
magnetic Gr\"uneisen parameter for adiabatic demagnetization cooling to very
low temperatures.
