The goal of this article is twofold. Firstly, nonlinear system identification is introduced to a wide audience, guiding practicing engineers and newcomers in the field to a sound solution of their data driven modeling problems for nonlinear dynamic systems. In addition, the article also provides a broad perspective on the topic to researchers that are already familiar with the linear system identification theory, showing the similarities and differences between the linear and nonlinear problem. The reader will be referred to the existing literature for detailed mathematical explanations and formal proofs. Here the focus is on the basic philosophy, giving an intuitive understanding of the problems and the solutions, by making a guided tour along the wide range of user choices in nonlinear system identification. Guidelines will be given in addition to many examples, to reach that goal.