The detections of transient signals of gravitational waves during the first observing run of the Advanced LIGO detectors marked the birth of gravitational-wave astronomy, which opens new directions in time-domain astronomy. The simultaneous availability of space and ground-based electromagnetic telescopes observing together with the advanced gravitational-wave detectors gives the great opportunity to catch the electromagnetic signature of the gravitational-wave sources. The talk will describe the value and the challenges of the exploration of the gravitational-wave transient sky, focusing on the low latency search for gravitational transients and the hunting for the possible multi-wavelength electromagnetic signals. The potential of gravitational-wave observations in a multi-messenger context will be outlined.