Photoexcited molecules convert light into chemical and mechanical energy through changes in electronic and nuclear structure that take place on femtosecond timescales. Gas phase ultrafast electron diffraction (GUED) is an ideal tool to probe the nuclear geometry evolution of the molecules and complements spectroscopic methods that are mostly sensitive to the electronic state. GUED is a passive probing tool that does not alter the molecular properties during the probing process and is sensitive to the spatial distribution of charge in the molecule, including both electrons and nuclei. Improvements in temporal resolution have enabled GUED to capture coherent nuclear motions in molecules in the excited and ground electronic states with femtosecond and subangstrom resolution. Here we present the basic theory of GUED and explain what information is encoded in the diffraction signal, review how GUED has been used to observe coherent structural dynamics in recent experiments, and discuss the advantages and limitations of the method. Expected final online publication date for the Annual Review of Physical Chemistry, Volume 73 is April 2022. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.