  Neutron stars and black holes are the astrophysical systems with the
strongest gravitational fields in the universe. In this article, I review the
prospect of probing with observations of such compact objects some of the most
intriguing General Relativistic predictions in the strong-field regime: the
absence of stable circular orbits near a compact object and the presence of
event horizons around black-hole singularities. I discuss the need for a
theoretical framework within which future experiments will provide detailed,
quantitative tests of gravity theories. Finally, I summarize the constraints
imposed by current observations of neutron stars on potential deviations from
General Relativity.
