FinFET and fully depleted silicon-on-insulator (FDSOI) structures could further improve transistor's performance and, however, also introduce some new problems, especially the increasingly severer self-heating effect (SHE). In this paper, by utilizing the ultra-fast sub-1 ns measurement technique, I-V characteristics of FinFETs and FDSOI devices at different switch speeds are obtained. Furthermore, dynamic SHE phenomena as well as the time-resolved channel temperature change during transistor's switch on and off are able to be experimentally observed. And, more accurate device parameters like ballistic transport efficiency are extracted by the ultra-fast measurements. Moreover, it is experimentally confirmed that several nanoseconds are required to heat up the channel of transistors by the direct electrical characterization and, therefore, in sub-10 nm devices, SHE might be alleviated under high frequency/speed operations.