The unknown nature of dark matter (DM) remains a major problem in modern physics and cosmology. Astronomical observations presented us with this problem in the first place, and astronomical observations have continued to provide insights into the possible particle nature of DM. In fact, studying astrophysical signatures of DM in detail can substantially constrain the parameter space of particle DM, and hence particle theories in turn. I will talk about two examples of very different DM candidates, each giving rise to very different astrophysical signatures. One is ultralight bosonic DM -reminiscent of ultralight axions predicted by string theory, and its impact on structure formation and the expansion history of the early Universe. The other one concerns the effect of self-annihilating DM on the first stars. WIMPs (SUSY partners or Kaluza-Klein particles) are prone to produce this effect. In each case, predictions can be compared with current and upcoming data, with surprising implications.