Rayleigh wave nonlinearity is investigated theoretically. First, spectral forms of the evolution equations for Rayleigh waves and sound waves are used to compare the relative efficiencies of sum and difference frequency generation. Next, time domain forms of the same evolution equations are used to compare the relative importance of local and nonlocal nonlinearity on the distortion of Rayleigh waves in the preshock region. Finally, new analytical approximations are derived for the shock formation distance and the corresponding coefficient of nonlinearity for Rayleigh waves.