This review examines the nonlinear optical properties of highly excited and ionized gaseous media and low-temperature plasmas. The authors concentrate particularly on the role of excited atomic and ionized states, as well as continuum states. The authors cite and discuss experimental results of coherent anti-Stokes Raman scattering and optical harmonic generation in media consisting of excited atoms and ions. Nonlinear optical experiments involving the continuum states in intense optical fields are examined. In this connection the authors also discuss above-threshold ionization and the multiphoton stripping of atoms.