[en] Among the different astrophysical plasmas, the solar wind and the planetary magnetosheaths represent the best laboratories for studying the properties of fully developed plasma turbulence. Because of the relatively weak density fluctuations (∼ 10%) in the solar wind, the low frequency fluctuations are usually described using the incompressible MHD theory. Nevertheless, the effect of the compressibility (in particular in the fast wind) has been a subject of active research within the space physics community over the last three decades. My thesis is essentially dedicated to the study of compressible turbulence in different plasma environments, the planetary magnetosheaths (of Saturn and Earth) and the fast and slow solar wind. This was done using in-situ spacecraft data from the Cassini, Cluster and THEMIS/ARTEMIS satellites. I first investigated the properties of MHD and kinetic scale turbulence in the magnetosheath of Saturn using Cassini data at the MHD scales and compared them to known features of the solar wind turbulence. This work was completed with a more detailed analysis performed in the magnetosheath of Earth using the Cluster data. Then, by applying the recently derived exact law of compressible isothermal MHD turbulence to the in-situ observations from THEMIS and CLUSTER spacecrafts, a detailed study regarding the effect of the compressibility on the energy cascade (dissipation) rate in the fast and the slow wind is presented. Several new empirical laws are obtained, which include the power-law scaling of the energy cascade rate as function of the turbulent Mach number. Eventually, an application of this exact model to a more compressible medium, the magnetosheath of Earth, using the Cluster data provides the first estimation of the energy dissipation rate in the magnetosheath, which is found to be up to two orders of magnitude higher than that observed in the solar wind. (author)