High-dimensional graphical models are important tools for characterizing complex interactions within a large-scale system. In this thesis, our emphasis is to utilize the increasingly popular regularization technique to learn sparse graphical models, and our focus is on two types of graphs: Ising model for binary data and nonparanormal graphical model for continuous data. In the first part, we propose an efficient procedure for learning a sparse Ising model based on a non-concave penalized composite likelihood, which extends the methodology and theory of non-concave penalized likelihood. An efficient solution path algorithm is devised by using a novel coordinate-minorization-ascent algorithm. Asymptotic oracle properties of our proposed estimator are established with NP-dimensionality. We demonstrate its finite sample performance via simulation studies and real applications to study the Human Immunodeficiency Virus type 1 protease structure. In the second part, we study the nonparanormal graphical model that is much more robust than the Gaussian graphical model while retains the good interpretability of the latter. In this thesis we show that the nonparanormal graphical model can be efficiently estimated by using a unified regularized rank estimation scheme which does not require estimating those unknown transformation functions in the nonparanormal graphical model. In particular, we study the rank-based Graphical LASSO, the rank-based Dantzig selector and the rank-based CLIME. We establish their theoretical properties in the setting where the dimension is nearly exponentially large relative to the sample size. It is shown that the proposed rank-based estimators work as well as their oracle counterparts in both simulated and real data.