Magnetic nanoparticles have attracted much interest due to their broad applications in biomedicine and pollutant remediation. In this work, the optical, magnetic, and structural characteristics of colloids produced by ultrashort pulsed laser ablation of a solid Fe target were studied in four different media: HPLC water, an aqueous solution of trisodium citrate, acetone, and ethanol. Optical extinction spectroscopy revealed an absorption band in the UV region for all, in contrast to the results obtained with nanosecond lasers. Micro-Raman spectroscopy showed that the samples are heterogeneous in their composition, with hematite, maghemite, and magnetite nanoparticles in all four solvents. Similar results were obtained by electron diffraction, which also found α-Fe. Magnetic properties were studied by vibrating-sample magnetometry, and showed nanoparticles in the superparamagnetic state. Under certain experimental conditions, submicrometer-sized iron oxide nanoparticles agglomerate into fractal patterns that show self-similar properties. Self-assembled annular structures on the nanometer scale were also observed and are reported for the first time.