A review of investigations of nonlinear refraction and nonlinear absorption of light in semiconductors, fullerenes, dyes, metals, and crystals is given. The results of measurements of the nonlinear refraction coefficients, nonlinear absorption coefficients, saturation intensities, and nonlinear susceptibilities of these media by using laser radiation at different wavelengths and the z-scan method are presented. Methods of preparation of nanoparticles based on these media and studies of their nonlinear-optical parameters are discussed. Some media are analysed from the point of view of their application as optical limiters of laser radiation. Investigations of higher nonlinearities of some media are also considered.