Black holes and neutron stars present extreme forms of matter that cannot be created as such in a laboratory on Earth. Instead, we have to observe and analyze the experiments that are ongoing in the Universe. The most telling observations of black holes and neutron stars come from dense stellar systems, where stars are crowded close enough to each other to undergo frequent interactions. It is the interplay between black holes, neutron stars and other objects in a dense environment that allows us to use observations to draw firm conclusions about the properties of these extreme forms of matter, through comparisons with simulations. The art of modeling dense stellar systems through computer simulations forms the main topic of this review.