Despite much observational and theoretical effort little is presently known about the nature of the luminous non-nuclear X-ray sources which appear to largely surpass the Eddington limit of a few solar masses. Here we present first results of our OHP/ESO/CFHT optical survey of the environments of variable ultraluminous X-ray sources (ULX) in nearby galaxies. At the position of several ULX we find emission nebulae of a few hundred parsecs diameter, and which often show both low and high ionisation emission lines. The gas must therefore be either photoionized by hard XUV continua, or be shock-ionized in the expanding bubbles. The nebulae have kinematic ages of some million years and appear to be directly linked to the highly energetic formation process of the compact ULX or being inflated by ongoing stellar wind/jet activity. The discovery of intense HeII lambda4686 nebular recombination radiation together with comparatively strong [OI] lambda6300 emission around the variable ULX in dwarf galaxy Holmberg II has allowed us to show that the interstellar medium acually 'sees' and reprocesses part of the 10^40 erg/s measured at X-ray wavelengths, if we assume isotropic emission. Strong beaming into our line of sight which has been advocated to avoid such high luminosities can thus be excluded, at least for this source.