This dissertation focuses on developing new fabrication techniques for fabricating nano-scale devices and studying their emerging properties, especially their coupling to magnetic field and light. We have fabricated ultrasmall ferromagnetic electrodes and studied their magnetoresistance at low temperature. The magnetoresistance fluctuations are enhanced compared to those of the bulk magnetic material, and can be described with a quantum interference theory. A temperature dependence study confirms this interpretation. During magnetoresistance measurement we also observed atomic motion induced two-level conductance fluctuations in ferromgnetic nanoconstrictions. We have developed a self-aligned technique to fabricate gold electrodes with a nanometer scale gap, and used a graphene nanoconstriction as a detector to read out the plasmon resonance of the gold electrodes using a photocurrent measurement. We have fabricated dual-gate graphene devices and used them to perform steady state and time-domain photocurrent studies of graphene PN junctions. The gate dependence study reveals hot carrier transport in the photocurrent response, while the time-resolved photocurrent study provides information about carrier dynamics.