Nonlocality is a generic feature of multiscale modeling. In this talk, we present some development of nonlocal calculus of variations which is based on the nonlocal vector calculus. Being analogous to classical vector calculus, the latter represents an attempt to build a systematic and axiomatic framework for nonlocal operators and nonlocal models. It has been successfully used to analyze various linear and nonlinear nonlocal balance laws and variational problems. It also has laid down the foundation to study asymptotically compatible schemes for the discretization of nonlocal models and their local limits.