In General Relativity, the propagation of electromagnetic waves is usually described by the vacuum Maxwell's equations on a fixed curved background. In the limit of infinitely high frequencies, electromagnetic waves can be localized as point particles, following null geodesics. However, at finite frequencies, electromagnetic waves can no longer be treated as point particles following null geodesics, and the spin angular momentum of light comes into play, via the spin-curvature coupling. We will refer to this effect as the gravitational spin Hall effect of light. Here, we review a series of theoretical results related to the gravitational spin Hall effect of light, and we compare the predictions of different models. The analogy with the spin Hall effect in Optics is also explored, since in this field the effect is well understood, both theoretically and experimentally.