Recent theoretical and experimental results in nonlinear optics of semiconductor nanostructures and intracavity nonlinear mixing of laser modes are reviewed. A comparative analysis of the implemented and newly suggested schemes for the difference- and sum-frequency, second-harmonic, and parametric generation is presented. In particular, the problems of nonlinear photonic crystals, true- and quasi-phase-matching designs, and the use of the longitudinal, transverse, and 2D (metal or dielectric) gratings in the surface-emitting semiconductor devices are discussed. The most promising schemes of nonlinear-mixing lasers, both quantum cascade (intersubband) and diode-type (interband), are described. Finally, numerous applications of nonlinear-mixing lasers and open issues in physics and technology posed by the problem are given.