The thesis deals with the development and characterization of new light sources, which are mandatory for applications in atomic and molecular spectroscopy, medical and biological imaging or industrial production. For that purpose, the employment of interactions of high intensity ultra-short laser pulses with gaseous media offers a rich variety of physical effects which can be exploited. The effects are characterized by a nonlinear dependency on the present light fields. Therefore, accurate modeling of the nonlinearities of the gas is crucial. In general, the nonlinearities are due to the electronic response of the gas atoms to the light field and one distinguishes between the response of bound and ionized electrons. The first part investigates laser pulse self compression, where the consideration of a purely bound electron response is sufficient. We apply an exotic setup with an negative Kerr nonlinearity in order to avoid spatial collapse of the beam on the cost of dealing with an highly dispersive nonlinearity. Analytical analysis and numerical simulations prove the possibility of laser pulse compression in such setups and reveals a new compression scheme, where the usually disturbing dispersion of the nonlinaerity is responsible for compression. Dealing with tera-Hertz generation by focusing an ionizing two-color laser pulse into gas, the second part exploits a medium nonlinearity caused by ionized electrons. We reveal in a mixed analytical and numerical analysis the underlying physical mechanism for THz generation: ionized electrons build up a current, which radiates. Thereby, the the two-color nature of the input laser is crucial for the emitted radiation to be in the tera-Hertz range. Combining this physical model with a pulse propagation equation allows us to achieve remarkable agreement with experimental measurements. Finally, the third part deals with nonlinearities from bound as well from ionized electrons on a fundamental level. We advance beyond phenomenological models for responses of bound and ionized electrons and quantum mechanically model the interaction of an ultra-short laser pulse with a gas. Already the simplest case of one dimensional hydrogen reveals basic features. For low intensities, the Kerr nonlinearity excellently describes the response of bound electrons. For increasing intensity, ionization becomes important and the response from ionized electrons is the governing one for high intensities. This quantum mechanical correct modeling allows us to explain saturation and change of sing of the nonlinear refractive index and to deduce suited approximate models for optical nonlinearities.