We prove that, each probability meassure on ℝ, with all moments, is canonically associated with (i) a ∗-Lie algebra; (ii) a complexity index labeled by pairs of natural integers. The measures with complexity index (0,K) consist of two disjoint classes: that of all measures with finite support and the semi-circle-arcsine class (the discussion in Sec. 4.1 motivates this name). The class C(μ)=(0,0) coincides with the δ-measures in the finite support case and includes the semi-circle laws in the infinite support case. In the infinite support case, the class C(μ)=(0,1) includes the arcsine laws, and the class C(μ)=(0,2) appeared in central limit theorems of quantum random walks in the sense of Konno. The classes C(μ)=(0,K), with K≥3, do not seem to be present in the literature. The class (1,0) includes the Gaussian and Poisson measures and the associated ∗-Lie algebra is the Heisenberg algebra. The class (2,0) includes the non-standard (i.e. neither Gaussian nor Poisson) Meixner distributions and the associated ∗-Lie algebra is a central extension of sl(2,ℝ). Starting from n=3, the ∗-Lie algebra associated to the class (n,0) is infinite dimensional and the corresponding classes include the higher powers of the standard Gaussian.