Magnetic particles of microscopic size can be created in the process of Ni, Fe and Co mechanically controllable break junctions fabrication and trapped between the electrodes by magnetic dipole forces. Tunneling between the protruding nanoparticle and the sample electrode shows clear distinctions from the usual junctions: heavy deviation of the current-distance I(z) dependence from the expected exponential behavior at electrode separations z below 4.0-4.5 Angstrom and on numerous occasions a sudden jump-like decrease of the tunnel current at z approximate to 1.5-2.0 Angstrom. Possible mechanisms behind observed anomalies including the short-range magnetic exchange coupling are discussed. (C) 2002 Elsevier Science B.V. All rights reserved.