Background: The brain's continuous neural activity during sleep can be monitored by electroencephalogram (EEG) signals. The EEG wave pattern and frequency vary during five stages of sleep. These subtle variations in sleep EEG signals cannot be easily detected through visual inspection. Summary: A range of time, frequency, time-frequency and nonlinear analysis methods can be applied to understand the complex physiological signals and their chaotic behavior. This paper presents a comprehensive comparative review and analysis of 29 nonlinear dynamics measures for EEG-based sleep stage detection. Key Messages: The characteristic ranges of these features are reported for the five different sleep stages. All nonlinear measures produce clinically significant results, that is, they can discriminate the individual sleep stages. Feature ranking based on the statistical F-value, however, shows that the third order cumulant of higher order spectra yields the most discriminative result. The distinct value ranges for each sleep stage and the discriminative power of the features can be used for sleep disorder diagnosis, treatment monitoring, and drug efficacy assessment.