We have explored near-infrared (NIR)--far-infrared (FIR) two-color optical experiments in quantum-confined semiconductor systems, using NIR radiation from a tunable cw Ti:Sapphire laser and intense and coherent FIR radiation from the UCSB Free-Electron Lasers. In this paper two recent experiments are discussed, both of which provide new insight into the internal structure and dynamics of confined excitons: (1) We have observed for the first time FIR internal transitions associated with the direct exciton in GaAs/AlGaAs quantum wells. The spectrum of excitations is enriched by the complexities of the valence band and differ significantly from simple reduced-mass, hydrogenic models. We provide a critical test of detailed calculations including the valence-band mixing of Bauer and Ando. (2) We have discovered resonant nonlinear optical mixing of NIR and FIR radiation, which results in strong near-bandgap emission lines, or optical sidebands. The sidebands appear when optically-created excitons are driven strongly by intense FIR fields. The frequencies of the sidebands are (omega) NIR +/- 2n(omega) FIR, where (omega) NIR is the interband exciton-creation frequency, (omega) FIR is the frequency of the driving field, and n is an integer. The intensity of the sidebands exhibits pronounced resonances as a function of applied magnetic field, which are well- explained in terms of virtual transitions between magnetically-tuned energy levels in the excitons.