The combination of integrated optics technologies with nonlinear photonics, which has led to the growth of nonlinear integrated photonics, has also opened the way to groundbreaking new devices and applications. Here we introduce the main physical processes involved in nonlinear photonics applications, and we discuss the fundaments of this research area, starting from traditional second-order and third-order phenomena and going to ultrafast phenomena. The applications, on the other hand, have been made possible by the availability of suitable materials, with high nonlinear coefficients, and/or by the design of guided-wave structures, which can enhance the material's nonlinear properties. A summary of the most common nonlinear materials is presented, together with a discussion of the innovative ones. The discussion of fabrication processes and integration platforms is the subject of a companion article, also submitted for publication in this journal. There, several examples of nonlinear photonic integrated devices to be employed in optical communications, all-optical signal processing and computing, or quantum optics are shown, too. We aimed at offering a broad overview, even if, certainly, not exhaustive. We hope that the overall work could provide guidance for those who are newcomers to this field and some hints to the interested researchers for a more detailed investigation of the present and future development of this hot and rapidly growing field.