Resulting from the availability of improved sources, research in the terahertz (THz) spectral range has increased dramatically over the last decade, leading essentially to the disappearance of the so-called 'THz gap'. While most work to date has been carried out with THz radiation of low field amplitude, a growing number of experiments are using THz radiation with large electric and magnetic fields that induce nonlinearities in the system under study. This 'focus on' collection contains a number of articles, both experimental and theoretical, in the new subfield of THz nonlinear optics and spectroscopy on various systems, among them molecular gases, superconductors, semiconductors, antiferromagnets and graphene.