Coronal mass ejections (CMEs) from the Sun play a major role in driving space weather in our solar system, but their occurrence around other stars remains poorly understood. In this presentation, we examine how CME activity depends on fundamental stellar properties by comparing magnetically active M dwarfs with Sun-like and more massive stars. We discuss how stellar magnetic activity, rotation, and atmospheric conditions control the buildup and release of magnetic energy. We then explore the impact of stellar CMEs on exoplanets, including atmospheric erosion, radiation exposure, and consequences for long-term habitability. Finally, we present first results from our search for transient CME signatures—brief flashes linked to stellar activity—across the Milky Way using data from the Transiting Exoplanet Survey Satellite (TESS). These results provide new constraints on the frequency of stellar CMEs and a first glimpse of space weather in extrasolar systems.