Information theory, and particularly the mutual information (MI), has provided fundamental guidance for communications research. In Bell's 1993 paper, the MI was first applied to radar waveform design. Similar to its communications counterpart, the solution comes in a water-filling form. However, the practical meaning of MI in the sensing context remains unclear to date. Recently, Yang and Blum's 2007 paper shows that under the white noise assumption, the optimum water-filling scheme simultaneously maximizes the MI and minimizes the estimation minimum mean square error (MMSE). Such an equivalence, however, does not hold when the target parameter statistics are not perfectly known as shown in Yang and Blum's subsequent work. To further the understanding of the practical meaning of MI and to establish a connection between the MI and commonly adopted MSE measures for sensing, this paper takes a fresh look at the target estimation problem. We consider the general colored noise, incorporate the normalized MSE (NMSE), and develop joint robust designs for both the transmitter (waveforms) and the receiver (estimator) under various target and noise uncertainty models. Our results show that i) the optimum waveform designs resulted from the MI, MMSE and NMSE criteria are all different and ii) compared to MMSE, the NMSE-based designs share more similarities with the MI-based ones, especially when the target and noise statistics are not perfectly known.