Magnetic nanoparticles of iron and iron oxide have been prepared in a modified upward thermal diffusion cloud chamber using pulsed laser evaporation. SEM/TEM studies of these particles reveal a size distribution with a mean diameter of about $60;{AA}$. FTIR spectrum measurements are used to investigate the difference in oxidation level between nanoparticles prepared at different partial oxygen pressures. The complex magnetic behaviour of these particles was studied using DC- and AC-susceptibility measurements. All samples exhibit superparamagnetism with blocking temperatures ranging from 50 K to above room temperature. The coercivity fields as well as the dependence of the blocking temperature on measuring frequency have been studied. magnetic anisotropy constants are found to be one order of magnitude higher than is known for the bulk values. The mean particle size estimated from the magnetic data is found to be in perfect agreement with the TEM observations.