Diffusion is essentially the macroscopic manifestation of random (Brownian) microscopic motion. This idea has been generalised in the Continuous Time RandomWalk (CTRW) formalism, which under quite general conditions leads to a Generalised Master Equation (GME) that provides a useful modelling framework for transport. Here we review some of the basic ideas underlying this formalism from the perspective of transport in (magnetic confinement) plasmas. Under some specific conditions, the fluid limit of the GME corresponds to the Fokker-Planck (FP) diffusion equation in inhomogeneous systems, which reduces to Fick's law when the system is homogeneous. It is suggested that the FP equation may be preferable in fusion plasmas due to the inhomogeneity of the system, which would imply that part of the observed inward convection ("pinch") can be ascribed to this inhomogeneity. The GME also permits a mathematically sound approach to more complex transport issues, such as the incorporation of critical gradients and non-local transport mechanisms. A toy model incorporating these ingredients was shown to possess behaviour that bears a striking similarity to certain unusual phenomena observed in fusion plasmas.