Down to the discrete microscopic level, the liquid is neither homogeneous nor completely disordered. The interplay of mutual coupling and thermal agitation makes the system support short range structural order, and avalanche-type cooperative hopping excitations which lead to structural arrangement. The rich dynamical behaviors of spatio-temporal heterogeneities are still poorly understood because of the lack of proper tools for direct visualization. The dusty plasma liquid can be self-organized by negatively charged micrometer sized dusts suspending in a low-pressure rf discharge background. Its sub-mm inter-particle distance and the tens of second thermal relaxation time make it a proper system to mimic and understand the generic spatio-temporal behaviors of the liquid at the discrete kinetic level through direct optical video-microscopy. In this paper, we briefly review the recent studies on the dynamical heterogeneities of the cold 2D dusty plasma liquids at the discrete level. The effects of mutual interaction, thermal agitation, external shear, and tight confinement on micro-motion, anomalous diffusion, avalanche-type excitations of hopping clusters and defect clusters, structural ordering and rearrangement, and visco-elastic responses are presented and discussed.