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Haptic devices enable communication via touch, augmenting visual and auditory displays, or by offering alternative channels of communication when vision and hearing are unavailable. Because of the different types of haptic stimuli that are perceivable by users — vibration, skin stretch, pressure and temperature, among others — devices can be designed to communicate complex information by delivering multiple types of haptic stimuli simultaneously. These multi-sensory haptic devices are often designed to be wearable and have been developed for use in a wide variety of applications, including communication, entertainment and rehabilitation. Multi-sensory haptic devices present unique challenges to designers because human perceptual acuity can vary widely depending on the wearable location on the body and/or the heterogeneity in human perceptual performance, particularly when multiple cues are presented simultaneously. Additionally, packaging haptic systems in a wearable form factor presents its own engineering challenges such as cue masking, device mounting and actuator capabilities, among others. Thus, in this Review, we discuss the state-of-the-art and specific obstacles present in the field to produce multi-sensory devices that enhance the human capacity for haptic interaction and information transmission.