Parallaxes for 331 classical Cepheids, 31 Type II Cepheids and 364 RR Lyrae stars in common between Gaia and the Hipparcos and Tycho-2 catalogues are published in Gaia Data Release 1 (DR1) as part of the Tycho-Gaia Astrometric Solution (TGAS). In order to test these first parallax measurements of the primary standard candles of the cosmological distance ladder, that involve astrometry collected by Gaia during the initial 14 months of science operation, we compared them with literature estimates and derived new period-luminosity ($PL$), period-Wesenheit ($PW$) relations for classical and Type II Cepheids and infrared $PL$, $PL$-metallicity ($PLZ$) and optical luminosity-metallicity ($M_V$-[Fe/H]) relations for the RR Lyrae stars, with zero points based on TGAS. The new relations were computed using multi-band ($V,I,J,K_{mathrm{s}},W_{1}$) photometry and spectroscopic metal abundances available in the literature, and applying three alternative approaches: (i) by linear least squares fitting the absolute magnitudes inferred from direct transformation of the TGAS parallaxes, (ii) by adopting astrometric-based luminosities, and (iii) using a Bayesian fitting approach. TGAS parallaxes bring a significant added value to the previous Hipparcos estimates. The relations presented in this paper represent first Gaia-calibrated relations and form a work-in-progress milestone report in the wait for Gaia-only parallaxes of which a first solution will become available with Gaias Data Release 2 (DR2) in 2018.