We review recent investigations of the femtosecond nonlinear optical response of the two-dimensional electron gas (2DEG) in a strong magnetic field. We probe the Quantum Hall (QH) regime for filling factors ν ∼ 1. Our focus is on the transient coherence induced via optical excitation and on its time evolution during early femtosecond timescales. We simultaneously study the interband and intraband coherence in this system by using a nonlinear spectroscopic technique, transient three-pulse four wave mixing optical spectroscopy, and a many-body theory. We observe striking differences in the temporal and spectral profile of the nonlinear optical signal between a modulation doped quantum well system (with the 2DEG) and a similar undoped quantum well (without a 2DEG). We attribute these qualitative differences to Coulomb correlations between the photoexcited electron-hole pairs and the 2DEG. We show, in particular, that intraband many-particle coherences assisted by the inter-Landau-level magnetoplasmon excitations of the 2DEG dominate the femtosecond nonlinear optical response. The most striking effect of these exciton-magnetoplasmon coherences is a large off-resonant four-wave-mixing signal in the case of very low photoexcited carrier densities, not observed in the undoped system, with strong temporal oscillations and unusually symmetric temporal profile. © 2006 Elsevier Ltd. All rights reserved.