In the past decade, several considerable achievements have been reached in the field of Galactic microquasars, especially in light of the extreme variability of their relativistic jets. These jets are now known to exist in at least three different flavours: the self absorbed compact jets in the hard state, the transient and discrete ejection events associated with the state transitions, and the emission associated with the interaction of the jets on the interstellar medium. Although their phenomenology is now starting to be rather well established, their emission and contribution to the total energy budget of microquasars is still the subject of active debate. One way to probe the origin of their emission at various wavelengths is to use the broadband correlations that may exist between different energy domains. Initiated in the radio and X-ray ranges, these broadband flux correlations now include optical and infrared observations of black hole candidates and also neutron star systems. In this review, I also outline the current observational status of the emission of relativistic jets at high energy.