A method of making palladium-containing nanoscale catalyst particles comprising subjecting a starting material to laser energy so as to form a vapor and condensing the vapor so as to form the catalyst particles. The catalyst comprises nanoscale particles of palladium and/or palladium oxide incorporated in and/or on nanoscale particles of a metal or metal oxide. The nanoscale catalyst, which can be incorporated in the tobacco cut filler, cigarette wrapper and/or cigarette filter of a cigarette, is useful for low-temperature and near-ambient temperature catalysis. The nanoscale catalyst can convert carbon monoxide and nitric oxide that are found in mainstream smoke to carbon dioxide and nitrogen, respectively. The nanoscale catalyst may also be incorporated into a hydrocarbon conversion reactor, into a vehicle exhaust emissions system, into a laser, into a fuel cell or used in an air filter or for emissions reduction in the cold starting of an automobile engine.