The concordance cosmological model predicts that structures in the Universe form via hierarchical merging, beginning with the smallest dark matter mini-halos. The mass of the smallest halo is set by the initial thermal motion of dark matter particles. After merging into larger systems and subsequent dynamical evolution, most halos lose between 50% and 99% of their mass but an interesting fraction of dark matter remains in self-bound clumps at all mass scales. The smallest substructure has important implications for the detection of dark matter annihilation, predicted by SUSY models.