The interplay between gain and scattering of light propagating in disordered media allows operation of random lasers (RLs)-lasers without conventional optical cavities. In the present paper, we review our recent contributions in this area, which include the demonstration of self-second-harmonic and self-sum-frequency generation, the characterization of Lévy's statistics of the output intensity fluctuations, and replica symmetry breaking (analogue to the spin-glass phase transition) by RLs based on nanocrystals containing trivalent neodymium ions.