I will present a new set of functional inequalities involving the following four parameters associated with a given multidimensional distribution: the relative entropy, the relative Fisher information, the 2-Wasserstein distance, and the Stein discrepancy (which is a natural object arising in the framework of the Malliavin-Stein method on a Gaussian space). Our results improve the classical log-Sobolev inequality, as well Talagrand's transport inequality, and allow one to deduce new quantitative entropic limit theorems on Gaussian spaces. Joint works (JFA 2014 and GAFA 2015) with M. Ledoux (Toulouse), I. Nourdin (Luxembourg) and Y. Swan (Liège).