The universality of the Cepheid period-luminosity (PL) relations has been under discussion since metallicity effects were assumed to play a role in the value of the intercept and, more recently, of the slope of these relations. The goal of the present study is to calibrate the Galactic PL relations in various photometric bands (from B to K) and to compare the results to the well-established PL relations in the LMC. We use a set of 59 calibrating stars, the distances of which are measured using five different distance indicators: Hubble Space Telescope and revised Hipparcos parallaxes, infrared surface brightness and interferometric Baade-Wesselink parallaxes, and classical Zero-Age-Main-Sequence-fitting parallaxes for Cepheids belonging to open clusters or OB stars associations. A detailed discussion of absorption corrections and projection factor to be used is given.