In this paper we study the local cohomology modules of Du Bois singularities. Let $(R,m)$ be a local ring, we prove that if $R_{red}$ is Du Bois, then $H_m^i(R)to H_m^i(R_{red})$ is surjective for every $i$. We find many applications of this result. For example we answer a question of Kovacs and the second author on the Cohen-Macaulay property of Du Bois singularities. We obtain results on the injectivity of $Ext$ that provide substantial partial answers of questions of Eisenbud-Mustata-Stillman in characteristic $0$, and these results can be viewed as generalizations of the Kodaira vanishing theorem for Cohen-Macaulay Du Bois varieties. We prove results on the set-theoretic Cohen-Macaulayness of the defining ideal of Du Bois singularities, which are characteristic $0$ analog of results of Singh-Walther and answer some of their questions. We extend results of Hochster-Roberts on the relation between Koszul cohomology and local cohomology for $F$-injective and Du Bois singularities, see Hochster-Roberts. We also prove that singularities of dense $F$-injective type deform.