The recent thrust in ultrafast magnetization dynamics aims at extending spintronic functionalities to terahertz frequencies. Deterministic manipulation of magnetization at the corresponding ultrashort timescales requires minute control not only over the magnetization itself but also the reservoirs it is interacting with. Although the various intricate couplings between spins, phonons, and electrons-all of which are susceptible to ultrashort laser pulses-lead to many (often nonlinear) coupling routes, magnetization-dynamical nonlinearities have remained largely underexplored. In this Perspective, we highlight recent advances and foresee future developments in the rapidly evolving field of nonlinear magnetization dynamics. Given the elementary character of coherent excitations, we put particular emphasis on their nonlinearities. We briefly review theoretical aspects and assess excitation mechanisms to reach the nonlinear regime of magnetic excitations in a broad class of magnetic materials, such as ferromagnets, antiferromagnets, and ferrimagnets. We present an overview of the groundbreaking experiments that showcase the unique insights provided by magnetic nonlinearities. We conclude by discussing open challenges and opportunities that underpin the potential of nonlinear magnetization dynamics for the advancement of spintronics and cavity quantum electrodynamics with spin waves at terahertz frequencies.