We haven't seen direct evidence of gravitational waves yet (unless the current LIGO rumors pan out!), but there's already compelling indirect evidence. The most specific example I know of comes from the Hulse–Taylor binary system (https://en.wikipedia.org/wiki/PSR_B1913%2B16), in which a pulsar and another neutron star orbit each other every 7.75 hours (separated by a variable distance of roughly the diameter of our Sun).
The period of their orbit is decaying over time, at a rate that is in precise agreement with the predicted energy loss due to gravitational radiation in such a system (the observed rate of energy loss is 99.7% +/- 0.2% of the gravitational wave prediction). So while we haven't seen them directly yet (they're really, really hard to detect!), there's very little doubt that they're out there more or less exactly as Einstein predicted.
The period of their orbit is decaying over time, at a rate that is in precise agreement with the predicted energy loss due to gravitational radiation in such a system (the observed rate of energy loss is 99.7% +/- 0.2% of the gravitational wave prediction). So while we haven't seen them directly yet (they're really, really hard to detect!), there's very little doubt that they're out there more or less exactly as Einstein predicted.