  We propose to study the multifractal behavior of weighted ergodic averages.
Our study in this paper is concentrated on the symbolic dynamics. We introduce
a thermodynamical formalism which leads to a multifractal spectrum. It is
proved that this thermodynamical formalism applies to different kinds of
dynamically defined weights, including stationary ergodic random weights,
uniquely ergodic weights etc. But the validity of the thermodynamical formalism
for very irregular weights, like M\"{o}bius function, is an unsolved problem.
The paper ends with some other unsolved problems.
