In this review, we discuss our recent theoretical work on the nonlinear optical response of graphene and its sister structure in terahertz (THz) and near-infrared frequency regime. Due to Dirac-like linear energy-momentum dispersion, the third-order nonlinear current in graphene is much stronger than that in conventional semiconductors. The nonlinear current grows rapidly with increasing temperature and decreasing frequency. The third-order nonlinear current can be as strong as the linear current under moderate electric field strength of 104 V/cm. In bilayer graphene (BLG) with low energy trigonal warping effect, not only the optical response is strongly nonlinear, the optical nonlinearity is well-preserved at elevated temperature. In the presence of a bandgap (such as semihydrogenated graphene (SHG)), there exists two well separated linear response and nonlinear response peaks. This suggests that SHG can have a unique potential as a two-color nonlinear material in the THzfrequency regime where the relative intensity of the two colors can be tuned with the electric field. In a graphene superlattice structure of Kronig-Penney type periodic potential, the Dirac cone is elliptically deformed. We found that not only the optical nonlinearity is preserved in such a system, the total optical response is further enhanced by a factor proportional to the band anisotropy. This suggests that graphene superlattice is another potential candidate in THz device application.