Confronting general relativity with observations, thus supporting its role as our standard model of gravity as well as searching for new physics, is almost as old as the theory itself. Although general relativity has passed all experimental tests so far, most of which were limited to solar system or weak gravity scales, both cosmological observations and the quest for a unified theory of quantum gravity strongly motivate extensions to it in the strong gravity regime. Last year's first direct detection of gravitational waves that were emitted during the inspiral and merger of two black holes, allows us to challenge gravity in this regime for the first time. In this talk I will give a review on how we can test gravity using the recent and upcoming gravitational wave detections.