Although, for current laser pulse energies, the weakly nonlinear regime of laser wakefield acceleration is known to be the optimal for reaching the highest possible electron energies, the capabilities of upcoming large laser systems will provide the possibility of running highly nonlinear regimes of laser pulse propagation in underdense or near-critical plasmas. Using an extended particle-in-cell (PIC) model that takes into account all the relevant physics, we show that such regimes can be implemented with external guiding for a relatively long distance of propagation and allow for the stable transformation of laser energy into other types of energy, including the kinetic energy of a large number of high energy electrons and their incoherent emission of photons. This is despite the fact that the high intensity of the laser pulse triggers a number of new mechanisms of energy depletion, which we investigate systematically.