We review the current observational status of the ROSAT sources RX J1914.4+2456 and RX J0806.3+1527, and the evidence that these are ultra-short period (< 10 min) binary systems. We argue that an Intermediate Polar interpretation can be ruled out, that they are indeed compact binaries with a degenerate secondary, and that the period seen in the X-ray and optical is the orbital period. A white dwarf primary is preferred, but a neutron star cannot be excluded. We examine the capability of the three current double-degenerate models (Polar, Direct Accretor and Electric Star) to account for the observational characteristics of these systems. All models have difficulties with some aspects of the observations, but none can be excluded with confidence at present. The Electric Star model provides the best description, but the lifetime of this phase requires further investigation. These ultra-short period binaries will be strong gravitational wave emitters in the LISA bandpass, and because of their known source properties will be important early targets for gravitational wave studies.