During the past few years, the optics and photonics communities have renewed their attention toward transparent conducting oxides (TCOs), which for over two decades have been broadly employed for the fabrication of transparent electrodes in photovoltaic and communication technologies. This reinvigorated research curiosity is twofold: on the one hand, TCOs, with their metal-like properties, low optical absorption, and fabrication flexibility, represent an appealing alternative to noble metals for designing ultra-compact plasmonic devices. On the other hand, this class of hybrid compounds has been proved to possess exceptionally high optical nonlinearities when operating on a frequency window centered around their crossover point, the wavelength point at which the real part of the dielectric permittivity switches sign. Because TCOs are wide-bandgap materials with the Fermi level located in the conduction band, they are hybrid in nature, thus presenting both interband and intraband nonlinearities. This is the cause of a very rich nonlinear physics that is yet to be fully understood and explored. In addition to this, TCOs are epsilon-near-zero (ENZ) materials within a broad near-infrared spectral range, including the entire telecom bandwidth. In this operational window a myriad of novel electromagnetic phenomena have been demonstrated experimentally such as supercoupling, wavefront freezing, and photon doping. Furthermore, TCOs stand out among all other ENZ systems due to one fundamental characteristic, which is hardly attainable even by using structured materials. In fact, around their ENZ wavelength and for a quite generous operational range, these materials can be engineered to have an extremely small real index. This peculiarity leads to a slow-light effect that is ultimately responsible for a significant enhancement of the material nonlinear properties and is the cornerstone of the emerging field of near-zero-index photonics. In this regard, the recent history of nonlinear optics in conductive oxides is growing extremely fast due to a great number of experiments reporting unprecedentedly remarkable effects, including unitary index change, bandwidth-large frequency shift, efficient ultra-low-power frequency conversion, and many others. This review is meant to guide the reader through the exciting journey of TCOs, starting as an industrial material for transparent electrodes, then becoming a new alternative for low-loss plasmonics, and recently opening up new frontiers in integrated nonlinear optics. The present review is mainly focused on experimental observations.