The conditions of the existence and transformations of surface electromagnetic waves (SEWs) on metals (surface plasmons) and dielectrics (phonon–polaritons) are discussed. Interferometric SEW experiments provide the possibility for the direct determination of the real and imaginary parts of the dielectric constants e at the frequencies in the tuning range of a free electron laser (FEL) without any preliminary e models. The important role of the outstanding facilities of the FEL, namely the broad tuning range, high power, narrow bandwidth of emission, well-collimated beam, in SEW experiments is outlined. It is demonstrated by the examples of the infrared absorption spectra of a Langmuir–Blodgett film on metal, of a metal oxide film and of polymeric films of nanometer thickness on metals. The free surfaces of some single crystals (CaF2, LiNbO3) and thin polymeric films were studied by an interferometric experiment for the optical constant determination. The nonlinear spectroscopy applications of the SEW–FEL technique to studies of a second harmonic generation (SHG) are described (the frequency dependence of efficiency, the angle dependence of SHG, and the influence of a thin film deposition on a quartz surface).