We have studied phonon mode behavior in GaN nanocolumns and GaN/AlN multiple quantum disk nanocolumns, which are self-organized on Al2O3 and Si by RF-MBE, by means of Raman scattering. In GaN nanocolumns, we observe a Fröhlich mode localized at the surface of nanocolumns. The frequency and line width strongly depend on the column density and its inhomogeneity. It is demonstrated that Raman scattering is a useful method to characterize the crystal properties of the nanocolumns. In GaN/AlN multiple quantum disk nanocolumns, we observe several confined, quasi-confined and interface phonon modes, whose wave vectors along the axial direction may be quantized by the columnar nanostructures.