Recent results on di-jet, inclusive jets, production at high p_T in Deep Inelastic Scattering DIS and photoproduction gamma p regimes using both the H1 and ZEUS detectors at HERA are presented. Also studies of integrated jet shape and jet radius dependencies in DIS performed by the ZEUS Collaborations are discussed. All the measurements are found to be well described by calculations at the next-to-leading order in perturbative QCD. A combined determination of the value of the strong coupling constant alpha_s(M_Z) from the H1 and ZEUS Collaborations using inclusive-jet cross-section measurements in neutral current DIS at high Q^2 is shown.