The last decade has witnessed a remarkable progress in our understanding of the brain. This has mainly been based on the scrutiny and modeling of the transmission of activity among neurons across lively synapses. A main conclusion, thus far, is that essential features of the mind rely on collective phenomena that emerge from a willful interaction of many neurons that, mediating other cells, form a complex network whose details keep constantly adapting to their activity and surroundings. In parallel, theoretical and computational studies developed to understand many natural and artificial complex systems, which have truthfully explained their amazing emergent features and precise the role of the interaction dynamics and other conditions behind the different collective phenomena they happen to display. Focusing on promising ideas that arise when comparing these neurobiology and physics studies, the present perspective article shortly reviews such fascinating scenarios looking for clues about how high-level cognitive processes such as consciousness, intelligence, and identity can emerge. We, thus, show that basic concepts of physics, such as dynamical phases and non-equilibrium phase transitions, become quite relevant to the brain activity while determined by factors at the subcellular, cellular, and network levels. We also show how these transitions depend on details of the processing mechanism of stimuli in a noisy background and, most important, that one may detect them in familiar electroencephalogram (EEG) recordings. Thus, we associate the existence of such phases, which reveal a brain operating at (non-equilibrium) criticality, with the emergence of most interesting phenomena during memory tasks.