This Ph.D. thesis focuses on studying magnetization dynamics of magnetic materials on sub-picosecond timescales using terahertz (THz) radiation either as excitation or as a sensitive probe. At the beginning of the thesis, coherent excitations of spin precession are studied in thin films of ferrimagnetic Mn3-xGa Heusler alloys using THz emission spectroscopy. In this study, precise tunability of the THz emission frequency from these films is shown, which makes them highly promising candidates for future wireless communication technologies. Furthermore, the frequency dependence of THz driven ultra-fast demagnetization in conducting ferromagnetic CoFeB thin films is investigated. The ultra-fast demagnetization shows a peak behavior around 0.5 THz which is explained as a competition between the efficiency of Elliot-Yafet type spin scattering and the electron scattering in a Drude like model. This study will help to understand the microscopic mechanisms responsible for demagnetization taking place on sub-picosecond timescales. At the end of the thesis, magnon modes in insulating NiO have been studied with resonant excitation utilizing the magnetic field of the THz transients. This study reveals two magnon modes which are distinguished by their different characteristic magnetic field dependencies. The field dependence of these magnon modes is explained using an eight sub-lattice model. In general, the results presented in this thesis shed light on the field of ultra-fast magnetization dynamics at THz frequencies and are believed to provide a pathway to deepen our knowledge of magnetization dynamics at speeds which are technologically relevant for efficient spintronics devices