Identifying transitions to complex dynamical regimes is a fundamental open problem with many practical applications. Semi- conductor lasers with optical feedback are excellent testbeds for studying such transitions, as they can generate a rich variety of output signals. Here we apply three analysis tools to quantify various aspects of the dynamical transitions that occur as the laser pump current increases. These tools allow to quantitatively detect the onset of two different regimes, low-frequency fluctuations and coherence collapse, and can be used for identifying the operating conditions that result in specific dynamical properties of the laser output. These tools can also be valuable for analyzing regime transitions in other complex systems.