Strong terahertz (THz) electric and magnetic transients open up new horizons in science and applications. We review the most promising way of achieving sub-cycle THz pulses with extreme field strengths. During the nonlinear propagation of two-color mid-infrared and far-infrared ultrashort laser pulses, long, and thick plasma strings are produced, where strong photocurrents result in intense THz transients. The corresponding THz electric and magnetic field strengths can potentially reach the gigavolt per centimeter and kilotesla levels, respectively. The intensities of these THz fields enable extreme nonlinear optics and relativistic physics. We offer a comprehensive review, starting from the microscopic physical processes of light-matter interactions with mid-infrared and far-infrared ultrashort laser pulses, the theoretical and numerical advances in the nonlinear propagation of these laser fields, and the most important experimental demonstrations to date.