This is a short tutorial on Volterra and Wiener series applications to modelling of nonlinear systems and phenomena, and also a survey of the recent achievements in this area. In particular, we show here how the philosophies standing behind each of the above theories differ from each other. On the other hand, we discuss also mathematical relationships between Volterra and Wiener kernels and operators. Also, the problem of a best approximation of large-scale nonlinear systems using Volterra operators in weighted Fock spaces is described. Examples of applications considered are the following: Volterra series use in description of nonlinear distortions in satellite systems and their equalization or compensation, exploiting Wiener kernels to modelling of biological systems, the use of both Volterra and Wiener theories in description of ocean waves and in magnetic resonance spectroscopy. Moreover, connections between Volterra series and neural network models, and also input-output descriptions of quantum systems by Volterra series are discussed. Finally, we consider application of Volterra series to solving some nonlinear problems occurring in hydrology, navigation, and transportation.