Understanding small scale structure in the dark matter distribution is important in interpreting many astrophysical observations, as well as dark matter (direct or indirect) detection searches. With this motivation, I introduce a theoretical framework for describing the rich hierarchy of the phase space of cold dark matter haloes, due to gravitationally bound sub-structures, as well as tidal debris and caustics. I then argue that if/when we detect dark matter particles, a new era of Dark Matter Astronomy will be just around the corner.