With the Advanced LIGO and Virgo detector network in operation, we now routinely detect gravitational-wave (GW) transients such as binary black hole mergers at cosmological distances, directly confirming one of the major predictions from general relativity. As another famous prediction from the theory, it has already been observed that light can be deflected in the presence of a gravitational field, referred to as gravitational lensing. We expect GWs can also be lensed, but we have yet to make the first discovery of gravitationally lensed GW. In this talk, I will first briefly introduce the theory of gravitational lensing of GWs. Next, I will go over the kinds of astronomical objects that could be responsible for such lensing phenomena, which affect our strategies to search for lensed GWs. Also, I will discuss the challenges of identifying lensed GWs in data and what we can learn and probe using these lensed transients.