On-chip photonic devices based on waveguides receives significant attention for its capability in realizing great performance with high integration density. Two of the most representative area of application are biochemical sensing and optical interconnects. Micro- and nano-scale photonic biosensor has become a fast growing research topic driven by the need of portable bio-detection systems with high sensitivity, high throughput, real-time and label-free detection. Various structures, especially those based on silicon-on-insulator (SOI) substrate, have been demonstrated in research, some of which have been developed into commercially available product. In terms of optical interconnect, extensive research and development is underway to try to break the bottleneck in traditional copper interconnect in modern electronics facilities and devices, from local area network to short-reach data links and even down to on-chip interconnect. Silicon photonics is currently the most promising solution to optical interconnect primarily due to its mature processing technologies. Yet other materials, including electro-optic (EO) polymers, are also widely used in specific applications (e.g. EO modulators) for the benefits of high speed and low energy consumption. In this dissertation, various photonic waveguide devices for biochemical sensing and optical interconnect will be presented. First, biosensors based on photonic crystal (PC) microcavities will be demonstrated. A bandpass filter will be introduced to combine multiple PC microcavity sensors into an array. Array of PC biosensors with different parameters was formed to give a wide dynamic range of detection range. The detection of antibiotics and heavy metals will be covered. Then, a novel structure -- subwavelength grating waveguides (SWG) based biosensors will be introduced and its unique thickness-independent surface sensitivity will be analyzed and demonstrated. Thirdly, I will show a novel one-dimensional PC slot waveguide. It offers a simple, high-efficiency and low-loss phase shifter design for silicon-polymer hybrid EO modulators. Strained silicon waveguide for the generation of mid-infrared wave through difference frequency generation will be covered at last. It will show the potential application of chemical sensing with integrated photonic devices.