Fractals are a basic tool for phenomenologically describing natural objects having a high degree of temporal or spatial variability.From a physical point of view the fractal properties of natural systems can also be interpreted by using the standard formalism of thermodynamical fluctuations.We introduce and analyze the fractal dimension of the Intra-Day-Variability (IDV) light-curves of BL Lac objects,in the optical,radio and X-ray bands.A general description of the fluctuation spectrum of these systems based on general thermodynamical principles is also proposed.Based on the general fractal properties of a given physical system,we also introduce the predictability index for the IDV light curves.We have explicitly determined the fractal dimension for the R-band observations of five blazars,as well as for the radio band observations of the compact extragalactic radio source J 1128±5925 and of several X-ray sources.Our results show that the fractal dimension of the optical and X-ray observations indicates an almost pure "Brownian noise" (random walk) spectrum,with a very low predictability index,while in the radio band the predictability index is much higher.We have also studied the spectral properties of the IDV light curves and we have shown that their spectral index is very closely correlated with the corresponding fractal dimension.