As part of the smart grid development, more and more technologies are developed and deployed on the power grid to enhance the system reliability. A primary purpose of the smart grid is to significantly increase the capability of computer-based remote control and automation. As a result, the level of connectivity has become much higher, and cyber security also becomes a potential threat to the cyber-physical systems (CPSs). In this paper, a survey of the state-of-the-art is conducted on the cyber security of the power grid concerning issues of: (1) the structure of CPSs in a smart grid; (2) cyber vulnerability assessment; (3) cyber protection systems; and (4) testbeds of a CPS. At Washington State University (WSU), the Smart City Testbed (SCT) has been developed to provide a platform to test, analyze and validate defense mechanisms against potential cyber intrusions. A test case is provided in this paper to demonstrate how a testbed helps the study of cyber security and the anomaly detection system (ADS) for substations.