Can we learn about New Physics with astronomical and astro-particle data? Understanding how this is possible is key to unraveling one of the most pressing mysteries at the interface of cosmology and particle physics: the fundamental nature of dark matter. I will discuss some of the recent puzzling findings in cosmic-ray electron-positron data and in gamma-ray observations that might be related to dark matter. I will argue that recent cosmic-ray data, most notably from the Pamela and Fermi satellites, indicate that previously unaccounted-for powerful sources in the Galaxy inject high-energy electrons and positrons. Interestingly, this new source class might be related to new fundamental particle physics, and specifically to pair-annihilation or decay of galactic dark matter. This exciting scenario is directly constrained by Fermi gamma-ray observations, which also inform us on astrophysical source counterparts that could also be responsible for the high-energy electron-positron excess. Observations of gamma-ray emission from the central regions of the Galaxy as well as claims on a gamma-ray line at around 130 GeV also recently triggered a wide-spread interest: I will address the question of whether we are really observing signals from dark matter annihilation, how to test this hypothesis, and which astrophysical mechanisms constitute the relevant background.