Evidence is presented for the X-ray variability of Cyg X-1 on time scales down to a millisecond. Several bursts of millisecond duration are observed. The duty cycle for bursting is estimated to be approximately greater than. 0002 averaged over the entire 49. second exposure, although the maximum burst activity is associated with a region of enhanced emission lasting about 1/3 second. Such bursts may be associated with turbulence in disk accretion at the innermost orbits for a black hole.