Since 1950's when Emiliani obtained the first curve of the oxygen isotope records in the deep ocean sediments, the classical glaciation hypothesis developed by Penck had been replaced by the new discoveries which, by the works of Emiliani and of Shakeleton, demonstrated that during Quaternary period the cycles of glacial-interglacial were much more than four times. The correspondence between the paleoclimate records from deep ocean sediments as well as continental loess and the earth orbital parameters have established a solid framework for the study of climate change mechanisms. In recent years, the new discoveries including climatic instability during last glacial period have provided an opportunity to study the characteristics and mechanisms of the millennial scale climate changes. However, paleoclimatologists are still puzzled by the climate change mechanisms concerning the devolopment of glacial-interglacial cycles, the symchronic climate changes between Northern and Southern Hemisphere, and the operation of the climate instability.