In this work, the iterative coupling of finite element and boundary element methods for the investigation of coupled fluid-fluid, solid-solid and fluid-solid wave propagation models is reviewed. In order to perform the coupling of the two numerical methods, a successive renewal of the variables on the common interface between the two sub-domains is performed through an iterative procedure until convergence is achieved. In the case of local nonlinearities within the finite element sub-domain, it is straightforward to perform the iterative coupling together with the iterations needed to solve the nonlinear system. In particular, a more efficient and stable performance of the coupling procedure is achieved by a special formulation that allows to use different time steps in each sub-domain. Optimized relaxation parameters are also considered in the analyses, in order to speed up and/or to ensure the convergence of the iterative process.