We form sub-micrometer-sized vapor bubbles around a single laser-heated gold nanoparticle in a liquid and monitor them through optical scattering of a probe laser. Bubble formation is explosive even under continuous-wave heating. The fast, inertia-governed expansion is followed by a slower contraction and disappearance after some tens of nanoseconds. In a narrow range of illumination powers, bubble time traces show a clear echo signature. We attribute it to sound waves released upon the initial explosion and reflected by flat interfaces, hundreds of microns away from the particle. Echoes can trigger new explosions. A nanobubble's steady state (with a vapor shell surrounding the heated nanoparticle) can be reached by a proper time profile of the heating intensity. Stable nanobubbles could have original applications for light modulation and for enhanced optical–acoustic coupling in photoacoustic microscopy.