The Milky Way satellite dwarf spheroidal (dSph) galaxies are the smallest dark matter dominated systems in the universe. We have underway dynamical studies of the dSph to quantify the shortest scale lengths on which Dark Matter is distributed, the range of Dark Matter central densities, and the density profile(s) of DM on small scales. Current results suggest some surprises: the central DM density profile is typically cored, not cusped, with scale sizes never less than a few hundred pc; the central densities are typically 10-20 GeV/cc; no galaxy is found with a dark mass halo less massive than ~5.10^7 M_sun. We are discovering many more dSphs, which we are analysing to test the generality of these results.