The first observation of gravitational waves (2017 nobel prize for physics) opened up a new window into particle physics as well as astronomy. In particular gravitational waves can be produced from first order cosmological phase transitions that occur early in the Universe. Cosmological phase transitions play a key role in particle physics leading to the Higgs mechanism where electroweak symmetry is broken and the transition from the quark- gluon plasma to confined hadrons such as protons and neutrons. They also appear in many extensions of the standard model of particle physics such as grand unified theories and first order cosmological phase transitions are a vital ingredient in solutions to the matter anti-matter asymmetry. Observation of a stochastic gravitational wave background from a cosmological phase transition would be a discovery of new physics beyond the standard model of particle physics, because the standard model predicts the electroweak and QCD phase transitions to be smooth crossover transitions. In this colloquium I will give an overview of first order cosmological phase transitions and how they lead to gravitational wave predictions. This is a very active and open area of research with many unknowns and uncertainties, so I will highlight the limitations in our knowledge andexciting opportunities for new work to have a large impact.