Gamma-ray bursts are among the most violent events observed in the universe; their progenitors are most likely the coalescence of a neutron star with another neutron star or black hole, and extreme cases of stellar core-collapse. Both progenitors should also emit copious amounts of gravitational waves. We discuss the astrophysics of these progenitors and describe two gravitational wave searches tailored towards each progenitor. We present the results of these searches in the 2009-2010 data from the LIGO and Virgo network of gravitational wave detectors, and discuss prospects of future observations in the advanced gravitational wave detectors era.