Observed ENSO statistics exhibits a non-gaussian behavior, which is indicative of the presence of nonlinear processes. In this paper we use the Recharge Oscillator model (ROM), a largely used Low-Order Model (LOM) of ENSO, as well as methodologies borrowed from the field of statistical mechanics to identify which aspects of the system may give rise to nonlinearities that are consistent with the observed ENSO statistics. In particular, we are interested in understanding whether the nonlinearities reside in the system dynamics or in the fast atmospheric forcing. Our results indicate that one important dynamical nonlinearity often introduced in the ROM cannot justify a non-gaussian system behavior, while the nonlinearity in the atmospheric forcing can instead produce a statistics similar to the observed. The implications of the non-Gaussian character of ENSO statistics for the frequency of extreme El Nino events is then examined.