The detection of individual molecules has found widespread application in molecular biology, photochemistry, polymer chemistry, quantum optics and super-resolution microscopy. Tracking of an individual molecule in time has allowed identifying discrete molecular photodynamic steps, action of molecular motors, protein folding, diffusion, etc. down to the picosecond level. However, methods to study the ultrafast electronic and vibrational molecular dynamics at the level of individual molecules have emerged only recently. In this review we present several examples of femtosecond single molecule spectroscopy. Starting with basic pump-probe spectroscopy in a confocal detection scheme, we move towards deterministic coherent control approaches using pulse shapers and ultra-broad band laser systems. We present the detection of both electronic and vibrational femtosecond dynamics of individual fluorophores at room temperature, showing electronic (de)coherence, vibrational wavepacket interference and quantum control. Finally, two colour phase shaping applied to photosynthetic light-harvesting complexes is presented, which allows investigation of the persistent coherence in photosynthetic complexes under physiological conditions at the level of individual complexes.