Femtoseond laser micromachining enables fabrication of true three-dimensional (3D) microstructures with high precision and low heat effect and damage threshold, showing unique advantages over the traditional laser micromachining technology. We first review the histories of laser microprocessing and ultra-short pulse laser technology, and then outline the mechanisms of the interactions of ultra-short laser pulse with metals and transparent media. Next, we introduce several major technical approaches in the field of femtosecond laser micromachining such as femtosecond laser direct writing, multi-beam interference and projection patterning, as well as their applications in fabrication of 3D integrated optical devices, microfluidic chips, and chemical and biological sensors, etc. Lastly, we highlight the opportunities and challenges in the field, and suggest some directions for the future research.