Nonlinear optical nanocrystals have been recently introduced as a promising alternative to fluorescent probes for multi-photon microscopy. We present for the first time a complete survey of the properties of the different nanomaterials proposed to date, describing their preparation and stabilization and providing quantitative estimations of their nonlinear optical response. In the light of their prospective use as biological and clinical markers, we assess their bio-compatibility on human healthy and cancerous cell lines. Finally, we demonstrate the great potential for cell imaging of these inherently nonlinear probes in terms of optical contrast, wavelength flexibility, and signal photo-stability.