In this talk, I will first give a brief review of current research on Rydberg physics as well as electromagnetically induced transparency involving Rydberg states (Rydberg EIT). I will then present our experimental study of interacting Rydberg gases. In particular, I will discuss two of our recent experiments related to Rydberg EIT. In one experiment, we demonstrate coherent conversion from microwave to optical field via six-wave mixing in Rydberg atoms, utilizing the strong coupling of microwaves to Rydberg transitions. I will discuss our current results as well as possible schemes to further improve the conversion efficiency and bandwidth. In another experiment, we image ions in an atomic gas using Rydberg EIT, based on ion induced Rydberg blockade, and observe spatial evolution of ionization in cold Rydberg gases. This imaging technique, with further development into spatially resolving individual ions, will be well-suited for the investigation of ion kinetics in cold hybrid ion-atom mixtures, an emerging platform for fundamental research in quantum physics.