Shannon's Nyquist theorem has always dictated the conventional signal acquisition policies. Power system is not an exception to this. As per this theory, the sampling rate must be at least twice the maximum frequency present in the signal. Recently, compressive sampling (CS) theory has shown that the signals can be reconstructed from samples obtained at sub-Nyquist rate. Signal reconstruction in this theory is exact for "sparse signals" and is near exact for compressible signals provided certain conditions are satisfied. CS theory has already been applied in communication, medical imaging, MRI, radar imaging, remote sensing, computational biology, machine learning, geophysical data analysis, and so forth. CS is comparatively new in the area of computer based power system monitoring. In this paper, subareas of computer based power system monitoring where compressive sampling theory has been applied are reviewed. At first, an overview of CS is presented and then the relevant literature specific to power systems is discussed.