Gamma-Ray Bursts (GRBS) are the brightest explosions observed. Aftera serendipitous discovery and forty years of search we begin tounderstand their origin (type Ic supernovae for long bursts andneutron star mergers for short ones) and how they operate. While theresearch on the nature of GRBs still goes on we turn to applicationof GRBs to study other phenomena. GRBs have an enormous potential toexplore new regimes of ultra-relativistic flows and of very highmagnetic fields. A lot have been said about the potential usage ofGRBs to determine the conditions at the early universe. Here wediscuss an application of GRBs that involve new physics – namely,using the arrival times of photons and neutrinos at differentenergies to set limits on Lorentz invariance violation that couldarise from quantum gravity effects.