Ultrashort laser pulses have considerable potential for micron and sub-micron structuring of several materials. The lower energy impact, the reduction of thermal damage, the elimination of laser-plume interaction, and the exploitation of nonlinear optical effects all contribute to a strong improvement when compared to results using pulse widths in the nanosecond range. Depending on the choice of fluence compared to the damage threshold, with ultra-short laser pulses one is able to generate different types of structures, minimizing the heat affected zone. The damage threshold drops dramatically during the first laser shots, due to defect incubation. This has important consequences for applications, such as laser machining and for the lifetime of optical components. At a fluence below surface damage threshold we were also able to generate bulk modifications of different size and location in a controllable fashion by variation of laser pulse width, energy and number of shots, utilizing the beam narrowing effects during self focusing. A study of the dependence of the structure depth on the square root of the laser power for a given pulse length provides a straightforward method for determining the non-linear index of refraction.