The processes involved in nanoparticle and nanostructure formation by laser are analyzed. Relative contributions of several mechanisms involved are compared. First, we consider the formation of "primary" particles and discuss the difference between femtosecond and nanosecond regimes. Then, "secondary" particle/aggregate formation is discussed. In particular, attention is focused on (i) direct cluster ejection from a target under rapid laser interaction; (ii) condensation/evaporation; (iii) fragmentation/aggregation processes during cluster diffusion; (iv) diffusion, aggregation, and/or coalescence. In addition, routes of control over particle size distribution are proposed. Possibility of formation of colloidal nanoparticles with very narrow size distribution is proven numerically. The role of such parameters as ablation yield, laser wavelength and laser fluence, and surface tension are examined. Finally, controlled nanoparticle self-assembly is discussed as a potential technique for future development of nanomaterials