Many recent investigations of micromachining with lasers, in vacuum and in ambient air environments, have demonstrated the improvements possible when using femtosecond-duration laser pulses compared with long laser pulses. There are obvious practical advantages for rapid micromachining in ambient air conditions. However, the maximum laser intensity and repetition rate are then eventually limited by the avalanche breakdown and nonlinear effects in the air through which the focused laser beam must propagate both outside the work piece and within the structure that is being machined. This paper investigates these limits in femtosecond deep hole drilling at high laser intensities in silicate glasses. In particular, it shows how nonlinear optical effects, particularly self-focusing, can dramatically affect hole shape and the rate of penetration during deep hole drilling. The experiments described here demonstrate how nonlinear Kerr focusing of femtosecond laser pulses occurs during propagation of intense femtosecond laser pulses through the atmosphere within the machined channel at powers levels significantly below the critical power for self-focusing in ambient air.