Are there any ways to alter the frequency of wave?

Here are some topics to read about:

• Frequency doubling, also called second-harmonic generation as Johannes mentions. Here, you put one wave into a medium, and some fraction of it is converted to a wave with a different frequency. By carefully engineering the medium you can get quite a high conversion percentage.
• Other nonlinear optical processes, not just frequency doubling, but includes difference frequency generation, optical parametric oscillators, N-wave mixing, etc. These involve putting one or more waves with different frequencies into a medium and, getting an additional wave out with a frequency that you didn't put in.
• Raman scattering which is spontaneous, and its stimulated equivalents CARS and CSRS. In Raman scattering you don't really get a coherent wave out; you just put one wave into a medium and a tiny portion of the scattering has a different frequency. CARS and CSRS use the same mechanism (a molecule absorbing a photon, using its energy to transition to a different level, then re-emitting a photon with the excess energy) but they are types of four-wave mixing and really belong in the previous point.

Although normally considered as photon interactions, any inelastic scattering process will result in the alteration of the frequency of the electromagnetic radiation.

An obvious example is Compton scattering, where high energy (X-rays+) light scatters from free electrons. The scattered light has lower energy and longer wavelengths than the light incident upon the electrons.

Raman scattering of (often optical or infrared) light from molecules results in the scattered light having a slightly lower frequency, corresponding to a transition between energy levels in the molecule.