This paper presents recent results on the synthesis by pulsed laser deposition (PLD) and optical properties of composite thin films consisting of metallic nanocrystals embedded in an amorphous host. The films are grown by alternate ablation of the metal and host targets in vacuum by means of an ArF laser. The results show that PLD is a very promising technique for producing these materials with nanocrystals of controlled size and in-depth distribution. The analysis of the structure of the films as a function of the number of laser pulses in the metal target allow us to discuss the nanocrystals growth mechanism. A survey of works reporting the synthesis of similar films with metallic nanocrystals embedded in an insulator host and exhibiting third order optical nonlinearities is included, which evidences that the films grown by PLD have excellent properties for waveguide applications.