Ultra-compact binaries (UCBs) are systems containing compact or degenerate stars with orbital periods less than one hour. Tens of millions of UCBs are predicted to exist within theGalaxy emitting gravitational waves (GWs) at mHz frequencies. Combining GW searches with electromagnetic (EM) surveys like Gaia and LSST will yield a comprehensive, multimessenger catalog of UCBs in the galaxy. Joint EM and GW observations enable measurements of masses, radii, and orbital dynamics far beyond what can be achieved by independent EM or GW studies. GW+EM surveys of UCBs in the galaxy will yield a trove of unique insights into the nature of white dwarfs, the formation of compact objects, dynamical interactions in binaries, and energetic, accretion-driven phenomena like Type Ia superonovae.