Motivated by the recent synthesis of a number of Mott insulating square-kagome materials, we explore the rich phenomenology of frustrated magnetism induced by this lattice geometry, also referred to as the squagome or shuriken lattice. On the classical level, square-kagome antiferromagnets are found to exhibit extensive degeneracies, order-by-disorder, and non-coplanar ordering tendencies, which we discuss for an elementary, classical Heisenberg model with nearest-neighbor and cross-plaquette interactions. Having in mind that upon introducing quantum fluctuations non-coplanar order can melt into chiral quantum spin liquids, we provide detailed information on the multitude of non-coplanar orders, including some which break rotational symmetry (possibly leading to nematic quantum orders), as well as a number of (incommensurate) spin spiral phases. Using extensive numerical simulations, we also discuss the thermodynamic signatures of these phases, which often show multi-step thermal ordering. Our comprehensive discussion of the classical square-kagome Heisenberg model, often drawing comparisons to the conventional kagome antiferromagnet, sets the stage for future explorations of quantum analogs of the various phases, either conceptually such as in quantum spin-1/2 generalizations of our model or experimentally such as in the Cu-based candidate materials.