We summarize our current activities on nonlinear dynamics of semiconductor lasers. Focus is made on recent results on polarization control, nonlinear dynamics, optical chaos and chaos synchronization in vertical-cavity surface-emitting lasers (VCSELs) subject to either optical feedback, optical injection or large modulation of the injection current. The rich variety of dynamical behaviors is analysed experimentally and theoretically using advanced techniques for bifurcation analysis, in particular continuation methods. In specific conditions the VCSEL output exhibits fast self-sustained time-periodic dynamics and bistable switching characteristics which may be useful for all-optical signal processing and all-optical generation of fast electrical signals. In other parameter regions, the VCSEL output may become chaotic, which in turn may be useful as a broadband optical carrier for secure communications. The research on VCSEL nonlinear dynamics has also made possible the experimental demonstration of general concepts such as coherence resonance in bistable systems with delay and noise (in our case a bistable switching VCSEL with delayed optical feedback and additive noise on the injection current).