The system of a cold atomic gas in an optical lattice is governed by two factors: Nonlinearity originating from the interparticle interaction, and the periodicity of the system set by the lattice. The high level of controllability associated with such an arrangement allows for the study of the competition and interplay between these two, and gives rise to a whole range of interesting and rich nonlinear effects. This review covers the basic idea and overview of such nonlinear phenomena, especially those corresponding to extended states. This includes "swallowtail" loop structures of the energy band, Bloch states with multiple periodicity, and those in "nonlinear lattices", i.e., systems with the nonlinear interaction term itself being a periodic function in space. © 2016 by the authors.