We investigate the nonlinear dynamics of an optoelectronic oscillator that is implemented with a laser diode (LD) with time-delayed feedback. In this system, electrical-to-optical conversion is directly implemented using the direct modulation of the laser diode itself, instead of an electrooptical modulator as in conventional architectures. Moreover, we consider the cubic nonlinear saturation of the characteristic laser power-intensity (P-I) transfer function far above threshold, instead of its simplified piecewise linear counterpart. We perform the stability analysis of the oscillator, and we show that it displays a rich dynamics that includes quasi-harmonic, relaxation oscillations, and chaos. We also show that the oscillator is strongly hysteretic and displays a wide variety of multistable behaviors, including the rare case of bistability between chaotic attractors. Our analytical and numerical results are found to be in good agreement with the experimental measurements.