A worldwide array of highly sensitive ground-based interferometers stands poised to usher in a new era in astronomy with the first direct detection of gravitational waves. The data from these instruments will provide a unique perspective on extreme astrophysical objects, such as neutron stars and black holes, and will allow us to test Einstein’s theory of gravity in the strong field, dynamical regime. To fully realize these goals, we need to solve some challenging problems in signal processing and inference, such as finding rare and weak signals that are buried in non-stationary and non-Gaussian instrument noise, dealing with high-dimensional model spaces, and locating what are often extremely tight concentrations of posterior mass within the prior volume. Gravitational wave detection using space-based detectors and pulsar timing arrays bring with them the additional challenge of having to isolate individual signals that overlap one another in both time and frequency. Promising solutions to these problems will be discussed, along with some of the challenges that remain.