Power system is a classical example of complex systems. In this paper it is shown that the power industry in China is facing a tremendous challenge. Then the complexity in power systems is investigated. First, the cascade failure in power systems is analyzed, and compared with sand-pile model. Then we show that the agent-based modelling is a proper way for power network. Mathematically, the geometric dynamics and differential inclusion are useful tool for the stability analysis of large scale power systems. As for power market, the game theory and generalized control system model are proposed. For a complex power system, an evolutive model may be more accurate in description and analysis. Finally, certain newly developed numerical method in power system computation is introduced. Overall, we are convinced that the theorem of complexity, combined with modern control theory, may be the right way to answer the challenge faced by the power industry in China.