An explosion of in vitro experimental data on the folding of proteins has revealed many examples of folding in the millisecond or faster timescale, often occurring in the absence of stable intermediate states. We review experimental methods for measuring fast protein folding kinetics, and then discuss various analytical models used to interpret these data. Finally, we classify general mechanisms that have been proposed to explain fast protein folding into two catagories, heterogeneous and homogeneous, reflecting the nature of the transition state. One heterogeneous mechanism, the diffusion-collision mechanism, can be used to interpret experimental data for a number of proteins.