In self-gravitating stars, two dimensional or geophysical flows and in plasmas, long range interactions imply a lack of additivity for the energy; as a consequence, the usual thermodynamic limit is not appropriate. However, by contrast with many claims, the equilibrium statistical mechanics of such systems is a well understood subject. In this proceeding, we explain briefly the classical approach to equilibrium and non equilibrium statistical mechanics for these systems, starting from first principles. We emphasize recent and new results, mainly a classification of equilibrium phase transitions, new unobserved equilibrium phase transition, and out of equilibrium phase transitions. We briefly discuss what we consider as challenges in this field.