We study local and nonlocal correlations of light transmitted through active random media. The conventional approach results in divergence of ensemble-averaged correlation functions due to the existence of lasing realizations. We introduce a conditional average for correlation functions by omitting the divergent realizations. Our numerical simulation reveals that amplification does not affect local spatial correlation. The nonlocal intensity correlations are strongly magnified due to selective enhancement of the contributions from long propagation paths. We also show that by increasing gain, the average mode linewidth can be made comparable to the average mode spacing. This implies that light transport through a diffusive random system with gain may exhibit some similarities with that through a localized passive system.