A review of current theoretical and experimental research in the field of nonlinear optical frequency mixing in gaseous media: The authors examine fundamental physical principles and features of nonlinear optics of gases and vapors of chemical compounds. The experimental methods employed are described. Major advances in the fields of optical frequency conversion to infrared, vacuum-ultraviolet, and soft x-ray spectral ranges; improvement in the detection of weak IR signals by conversion to the visible and near ultraviolet ranges; and wavefront conjugation are described. Practical applications of discussed methods are emphasized.