The initial conditions for structure formation, and hence the dark matter distribution on sub-galactic scales, depend on the microphysics of the dark matter in the early Universe. I will focus on WIMPs and explain how collisional damping and free-streaming erase perturbations on comoving scales k> ~1/pc. Consequently the first structures to form in the Universe are mini-halos with mass of order the Earth. I will then describe the status of calculations of the subsequent dynamical evolution of these mini-halos. Finally, if time permits, I'll briefly overview the microphysics of axions.