The diverse range of opportunities and activity in fibre sensing and fibre lasers has triggered an equally diverse range of research into new grating fabrication methods using femtosecond lasers. Femtosecond laser written fibre gratings can now exhibit similar spectral properties yet superior thermal stability compared to those produced using conventional methods. Foremost of the advantages offered by femtosecond laser fibre grating inscription is the reduced need for photosensitivity. Key examples include demonstrations of high temperature sensors based on sapphire fibres and high power fibre lasers with intra-core optical resonators. Research and development of femtosecond grating inscription methods, properties and devices is reviewed.