Gamma-Ray Bursts (GRBS) are the brightest explosions observed. After a serendipitous discovery and forty years of search we begin to understand their origin (type Ic supernovae for long bursts and neutron star mergers for short ones) and how they operate. While the research on the nature of GRBs still goes on we turn to application of GRBs to study other phenomena. GRBs have an enormous potential to explore new regimes of ultra-relativistic flows and of very high magnetic fields. A lot have been said about the potential usage of GRBs to determine the conditions at the early universe. Here we discuss an application of GRBs that involve new physics – namely, using the arrival times of photons and neutrinos at different energies to set limits on Lorentz invariance violation that could arise from quantum gravity effects.