This article describes the various experimental bounds on the variation of the fundamental constants of nature. After a discussion on the role of fundamental constants, of their definition and link with metrology, the various constraints on the variation of the fine structure constant, the gravitational, weak and strong interactions couplings and the electron to proton mass ratio are reviewed. This review aims (1) to provide the basics of each measurement, (2) to show as clearly as possible why it constrains a given constant and (3) to point out the underlying hypotheses. Such an investigation is of importance to compare the different results, particularly in view of understanding the recent claims of the detections of a variation of the fine structure constant and of the electron to proton mass ratio in quasar absorption spectra. The theoretical models leading to the prediction of such variation are also reviewed, including Kaluza-Klein theories, string theories and other alternative theories and cosmological implications of these results are discussed. The links with the tests of general relativity are emphasized.