On 11 February 2016, the LIGO and Virgo scientific collaborations announced the first direct detection of gravitational waves, a signal caught by the LIGO interferometers on 14 September 2015, and produced by the coalescence of two stellar-mass black holes. The discovery represented the beginning of an entirely new way to investigate the Universe. The latest gravitational-wave catalog by LIGO, Virgo and KAGRA brings the total number of gravitational-wave events to 90, and the count is expected to significantly increase in the next years, when additional ground-based and space-born interferometers will be operational. From the theoretical point of view, we have only fuzzy ideas about where the detected events came from, and the answers to most of the five Ws and How for the astrophysics of compact binary coalescences are still unknown. In this work, we review our current knowledge and uncertainties on the astrophysical processes behind merging compact-object binaries. Furthermore, we discuss the astrophysical lessons learned through the latest gravitational-wave detections, paying specific attention to the theoretical challenges coming from exceptional events (e.g., GW190521 and GW190814).
