Shear thickening corresponds to an increase of the viscosity as a function of the shear rate. It is observed in many concentrated suspensions in nature and industry: water or oil saturated sediments, crystal-bearing magma, fresh concrete, silica suspensions, and cornstarch mixtures. Here, we reveal how shear-thickening suspensions flow, shedding light onto as yet non-understood complex dynamics reported in the literature. When shear thickening is important, we show the existence of density fluctuations that appear as periodic waves moving in the direction of flow and breaking azimuthal symmetry. They come with strong normal stress fluctuations of the same periodicity. The flow includes small areas of normal stresses of the order of tens of kilopascals and areas of normal stresses of the order of hundreds of pascals. These stress inhomogeneities could play an important role in the damage caused by thickening fluids in the industry.