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Exploring dark matter via observations of extreme astrophysical environments -- defined here as heavy compact objects such as white dwarfs, neutron stars, and black holes, as well as supernovae and compact object merger events -- has been a major field of growth since the last Snowmass process. Theoretical work has highlighted the utility of current and near-future observatories to constrain novel dark matter parameter space across the full mass range. This includes gravitational wave instruments and observatories spanning the electromagnetic spectrum, from radio to gamma-rays. While recent searches already provide leading sensitivity to various dark matter models, this work also highlights the need for theoretical astrophysics research to better constrain the properties of these extreme astrophysical systems. The unique potential of these search signatures to probe dark matter adds motivation to proposed next-generation astronomical and gravitational wave instruments. Note: Contribution to Snowmass 2021 -- CF3. Dark Matter: Cosmic Probes 

We present Fermi Gamma-ray Burst Monitor (Fermi-GBM) and Swift Burst Alert Telescope (Swift-BAT) searches for gamma-ray/X-ray counterparts to gravitational-wave (GW) candidate events identified during the third observing run of the Advanced LIGO and Advanced Virgo detectors. Using Fermi-GBM onboard triggers and subthreshold gamma-ray burst (GRB) candidates found in the Fermi-GBM ground analyses, the Targeted Search and the Untargeted Search, we investigate whether there are any coincident GRBs associated with the GWs. We also search the Swift-BAT rate data around the GW times to determine whether a GRB counterpart is present. No counterparts are found. Using both the Fermi-GBM Targeted Search and the Swift-BAT search, we calculate flux upper limits and present joint upper limits on the gamma-ray luminosity of each GW. Given these limits, we constrain theoretical models for the emission of gamma rays from binary black hole mergers.