The femtosecond optical response of noble metal nanoparticles and its connection to the ultrafast electron dynamics are discussed in light of the results of high-sensitivity femtosecond pump-probe experiments. The physical origins of the nonlinear responses in the vicinity of the surface plasmon resonance and interband transition threshold are analyzed using extension of the theoretical models used in the bulk materials. These responses contain information on the electron interaction processes (electron-electron and electron-phonon scattering) that can thus be directly investigated in the time domain. Their size and environment dependences are discussed, and the results are compared to the ones in the bulk materials. Time-resolved techniques also permit direct study of the vibrational modes of metal nanoparticles and, in particular, the determination of their damping, which is a sensitive probe of the nature of the surrounding matrix and of the interface quality.