Precipitation in H_2O system and in PEG system was used to prepare the nano-Fe_3O_4 (particles) which exhibit super-paramagnetic behavior. Further more, they were compared with each other in phase, magnetic characteristics and stability. The results show that the nano-Fe_3O_4 particles prepared in two systems exhibit super-paramagnetic behavior. Compared with each other, the particles prepared in H_2O system show better crystallinity, while the particles prepared in PEG system show higher magnetic susceptibility and better stability.