Micro- and nano-mechanical resonators with low mass and high vibrational frequency are often studied for applications in mass and force detection where they can offer unparalleled precision. They are also excellent systems with which to study nonlinear phenomena and fundamental physics due to the numerous routes through which they can couple to each other or to external systems. In this work we study the structural, thermal, and nonlinear properties of various micro-mechanical systems. First, we present a study of graphene-coated silicon nitride membranes; the resulting devices demonstrate the high quality factors of silicon nitride as well as the useful electrical and optical properties of graphene. We then study nonlinear mechanics in pure graphene membranes, where all vibrational eigenmodes are coupled to one another through the membrane tension. This effect enables coherent energy transfer from one mechanical mode to another, in effect creating a graphene mechanics-based frequency mixer. In another experiment, we measure the resonant frequency of a graphene membrane over a wide temperature range, 80K - 550K, to determine whether or not it demonstrates the negative thermal expansion coefficient predicted by prevailing theories; our results indicate that this coefficient is positive at low temperatures -- possibly due to polymer contaminants on the graphene surface -- and negative above room temperature. Lastly, we study optically-induced self-oscillation in metal-coated silicon nitride nanowires. These structures exhibit self-oscillation at extremely low laser powers (~1uW incident on the nanowire), and we use this photo-thermal effect to counteract the viscous air-damping that normally inhibits micro-mechanical motion.