We use the technique of electro-magnetically induced transparency (EIT) to probe the effect of attractive dipole-dipole interactions in a highly excited Rydberg gas. The transient character of the EIT response is investigated by rapidly scanning the probe laser through resonance. We characterize the resulting cooperative optical non-linearity as a function of probe strength, density and scan direction. For the 58D
5/2 Rydberg state, an atom density of $1.6\times10^{10}
cm^{-3}$ and a positive frequency scan we measure a third-order non-linearity of
χ(3)=5×10−7 m
2V
−2. For the reverse scan we observe a second order non-linearity of
χ(2)=5×10−6 mV
−1. The contrasting behaviour can be explained in terms of motional effects and resonant excitation of Rydberg pairs.