Magnetic nanoparticles are critical building blocks for future technologies ranging from nanomedicine to spintronics. Many related applications require nanoparticles with tailored magnetic properties. However, despite significant efforts undertaken towards this goal, a broad and poorly understood dispersion of magnetic properties is reported, even within monodisperse samples of the canonical ferromagnetic 3d transition metals. We address this issue by investigating the magnetism of a large number of size- and shape-selected, individual nanoparticles of Fe, Co, and Ni using a unique set of complementary characterization techniques. At room temperature, only superparamagnetic behavior is observed in our experiments for all Ni nanoparticles within the investigated sizes, which range from 8 to 20 nm. However, Fe and Co nanoparticles can exist in two distinct magnetic states at any size in this range: (i) a superparamagnetic state, as expected from the bulk and surface anisotropies known for the respective materials and as observed for Ni, and (ii) a state with unexpected stable magnetization at room temperature. This striking state is assigned to significant modifications of the magnetic properties arising from metastable lattice defects in the core of the nanoparticles, as concluded by calculations and atomic structural characterization. Also related with the structural defects, we find that the magnetic state of Fe and Co nanoparticles can be tuned by thermal treatment enabling one to tailor their magnetic properties for applications. This paper demonstrates the importance of complementary single particle investigations for a better understanding of nanoparticle magnetism and for full exploration of their potential for applications.