The upcoming LISA mission is the only experiment that offers the opportunity to study the Milky Way through gravitational wave radiation, exploiting the signals from Galactic double white dwarf (DWD) binaries. I will show that the large number of DWD detections will allow us to use these systems as tracers of the Milky Way potential. Furthermore, in the coming years, a large number of DWDs can be simultaneously detected in both electromagnetic (e.g. with Gaia and LSST) and gravitational wave radiation. This will provide a unique opportunity to perform a multi-messenger study of the Galaxy. Finally, I will talk about prospects of observing extra-galactic DWDs in the Local Group.