The study of structure, thermodynamic state, equation of state (EOS) and transport properties of warm dense matter (WDM) has become one of the key aspects of laboratory astrophysics. This field has demonstrated its importance not only concerning the internal structure of planets, but also other astrophysical bodies such as brown dwarfs, crusts of old stars or white dwarf stars. There has been a rapid increase in interest and activity in this field over the last two decades owing to many technological advances including not only the commissioning of high energy optical laser systems, z-pinches and X-ray free electron lasers, but also short-pulse laser facilities capable of generation of novel particle and X-ray sources. Many new diagnostic methods have been developed recently to study WDM in its full complexity. Even ultrafast nonequilibrium dynamics has been accessed for the first time thanks to subpicosecond laser pulses achieved at new facilities. Recent years saw a number of major discoveries with direct implications to astrophysics such as the formation of diamond at pressures relevant to interiors of frozen giant planets like Neptune, metallic hydrogen under conditions such as those found inside Jupiter’s dynamo or formation of lonsdaleite crystals under extreme pressures during asteroid impacts on celestial bodies. This paper provides a broad review of the most recent experimental work carried out in this field with a special focus on the methods used. All typical schemes used to produce WDM are discussed in detail. Most of the diagnostic techniques recently established to probe WDM are also described. This paper also provides an overview of the most prominent examples of these methods used in experiments. Even though the main emphasis of the publication is experimental work focused on laboratory astrophysics primarily at laser facilities, a brief outline of other methods such as dynamic compression with z-pinches and static compression using diamond anvil cells (DAC) is also included. Some relevant theoretical and computational efforts related to WDM and astrophysics are mentioned in this review.