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General Relativity is up to now the most satisfying theory of gravity. Among its predictions, gravitational waves played a key role in unveiling the mysteries of our Universe, opening a window on the last moments of compact binary coalescences. As general relativistic objects, coalescing binary systems of black holes and neutron stars provide a laboratory to test Einstein's theory which was inaccessible until gravitational waves' detection. After an introduction to gravitational waves, I will discuss the tests of General Relativity performed by the LIGO and Virgo Collaborations, with an emphasis on gravitational wave data analysis. I will then review results inferred from public detections and present future perspectives.