High power femtosecond laser pulses launched in air undergo nonlinear filamentary propagation, featuring a bright and thin plasma channel in air with its length much longer than the Rayleigh length of the laser beam. During this nonlinear propagation process, the laser pulses experience rich and complex spatial and temporal transformations. With its applications ranging from supercontinuum generation, laser pulse compression, remote sensing to triggering of lightning, the underlying physical mechanism of filamentation has been intensively studies. In this review, we will focus on the fluorescence and cavity-free lasing effect of the plasma filaments in air. The different mechanisms underlying the fluorescence of the excited neutral nitrogen molecules will be throughtly examined and it is concluded that the electron collision excitation is the dominant channel for the formation of the excited nitrogen molecules. The recently discovered “air lasing” effect, a cavity-free bidirectional lasing emission emitted by the filaments, will be introduced and its main properties will be emphasized. The applications of the fluorescence and lasing effect of the neutral nitrogen molecules will be introduced, with two examples on spectroscopy and detection of electric field. Finally, we discuss the quenching effect of the lasing effect in atmosphere and the mechanisms responsible will be analyzed. An outlook for the achievement of backward lasing in air will be briefly presented.