One of the challenges of the modern photonics is to develop all-optical devices enabling increased speed and energy efficiency for transmitting and processing information on an optical chip. It is believed that the recently suggested ParityTime (PT) symmetric photonic systems with alternating regions of gain and loss can bring novel functionalities. In such systems, losses are as important as gain and, depending on the structural parameters, gain compensates losses. Generally, PT systems demonstrate nontrivial non-conservative wave interactions and phase transitions, which can be employed for signal filtering and switching, opening new prospects for active control of light. In this review, we discuss a broad range of problems involving nonlinear PT-symmetric photonic systems with an intensitydependent refractive index. Nonlinearity in such PT symmetric systems provides a basis for many effects such as the formation of localized modes, nonlinearly-induced PT-symmetry breaking, and all-optical switching. Nonlinear PT-symmetric systems can serve as powerful building blocks for the development of novel photonic devices targeting an active light control.