The progress on anti-Stokes photoluminescence and Stokes and anti-Stokes Raman scattering in GaN single crystals and GaN/AlN heterostructures is reviewed. Anti-Stokes photoluminescence investigated in the past was primarily attributed to two-photon absorption, three-photon absorption, and phonon-assisted absorption. On the other hand, anti-Stokes Raman scattering was used to determine electron-phonon scattering time and decay time constant for longitudinal-optical phonons. In a typical high electron mobility transistor based on GaN/AlN heterostructures, strong resonances were reached for first-order and second-order Raman scattering processes. Therefore, both Stokes and anti-Stokes Raman intensities were dramatically enhanced. The feasibility of laser cooling of a nitride structure has been demonstrated. Anti-Stokes photoluminescence and Raman scattering have potential applications in upconversion lasers and laser cooling of nitride ultrafast electronic and optoelectronic devices.