The study and control of magnetic materials using ultrashort laser pulses is of great interest both from a fundamental point of view and for potential applications in the technology of information and communication. In this review the state of the art experimental and theoretical works in the field of Ultrafast Magnetization Dynamics is described, with a particular emphasis on the dynamics of nanostructures. The elementary physical mechanisms involving the spin dynamics when exciting magnetic nanostructures with femtosecond optical pulses are considered. The variety of experimental methods and theoretical approaches used to study the magnetic properties of the materials on a broad range of temporal and spatial scales are examined. The concepts of coherent photon-spin coupling, spin thermalization, precession dynamics and damping, magneto-acoustic interactions, are discussed. Some general trends and prospective works are also envisaged.