Parameterized complexity theory measures the complexity of computational problems predominantly in terms of their parameterized time complexity. The purpose of the present paper is to demonstrate that the study of parameterized space complexity can give new insights into the complexity of well-studied parameterized problems like the feedback vertex set problem. We show that the undirected and the directed feedback vertex set problems have different parameterized space complexities, unless L=NL. For a number of further natural parameterized problems, including the longest common subsequence problem, the acceptance problem for multi-head automata, and the associative generability problem we show that they lie in or are complete for different parameterized space classes. Our results explain why previous attempts at proving completeness of different problems for parameterized time classes have failed.