The acceleration of particles to very high energies in powerful astrophysical sources with relativistic outflows, such as pulsar winds, microquasars, active galactic nuclei and gamma-ray bursts represents a central question in modern high energy astrophysics and astroparticle physics. In a generic model, particles are accelerated at a relativistic shock wave and then radiate in the ambient magnetic or radiation fields. Our understanding of the physics of particle acceleration at relativistic shock waves has progressed substantially in the past decade. This talk will discuss these aspects, and in particular when and how particle acceleration can take place at relativistic shock waves, and what signatures can be expected. This talk will also discuss connections with the origin of the highest energy cosmic rays.