Changes in solar activity lead to adverse conditions within the upper atmosphere which may cause disruption of satellite operations, communications, navigation, and electric power grid. The term space weather is used to refer to changes in the Earth's space environment. This paper reviews plasma waves, found in all parts of the ionosphere and magnetosphere, in the context of space weather. Generated by energetic particles within the magnetosphere, these waves in turn cause particle accelerations, heating, and precipitation, taking an active part in determining space weather. Terrestrial lightning is an important source of plasma waves and forms a link between the lower and the upper atmosphere. Though many aspects of plasma waves such as their morphology and association with energetic particles and geomagnetic phenomena are well established, their generation mechanisms in most cases remain elusive. Current research involving active and passive, ground and space borne experiments, modeling, and simulation is providing better understanding of plasma wave generation mechanisms and the relation of plasma waves to other space weather parameters such as variations in geomagnetic field and energetic particle fluxes resulting from solar storms. Potentially, plasma waves could serve as one of the key indicators of space weather.