A few years from now, gravitational wave (GW) detectors of LIGO and VIRGO consortiums are expected to reach the sensitivity necessary to detect GW signals from astronomical sources. Identification of the counterparts to the GW sources in electromagnetic wave is very important, since the localization of the GW signals is going to be very poor (~1000 $deg^2$) for the first detections and the nature of the GW-emitting sources will be uncertain with the GW detection only. In this talk, we will discuss possible astronomical sources that could be responsible for the first GW signals, and outline our current efforts to do follow-up observation of GW sources in collaboration with LIGO/VIRGO groups.