We discuss our recent progress in photonic crystal nanocavity quantum dot lasers. We show how enhanced light matter interactions in the nanocavity lead to diverse and fascinating lasing phenomena that are in general inaccessible by conventional bulky semiconductor lasers. First, we demonstrate thresholdless lasing, in which any clear kink in the output laser curve does not appear. This is a result of near unity coupling of spontaneous emission into the lasing cavity mode, enabled by the strong Purcell effect supported in the nanocavity. Then, we discuss self-frequency conversion nanolasers, in which both near infrared lasing oscillation and nonlinear optical frequency conversion to visible light are simultaneously supported in the individual nanocavity. Owing to the tight optical confinement both in time and space, a high normalized conversion efficiency over a few hundred %/W is demonstrated. We also show that the intracavity nonlinear frequency conversion can be utilized to measure the statistics of the intracavity photons. These novel phenomena will be useful for developing various nano-optoelectronic devices with advanced functionalities.