Mobile user data mining is the process of extracting interesting knowledge from data collected from mobile users through various data mining methodologies. As technology progresses, and the current status of mobile phone adoption being very high in developed nations, along with improvements on mobile phones with new capabilities, it represents a strategic place for mobile user data mining. With such advanced mobile devices, locations that mobile users visit, time of communications, parties of communications, description of surrounding locations of mobile users can be gathered, stored and delivered by the mobile user to a central location, in which it have the great potential application in industries such as marketing, retail and banking. This chapter provides a general introduction on mobile user data mining followed by their potential application. As the life of mobile users are mined, general patterns and knowledge such as the sequence of locations they tend to visit, groups of people that they tends to meet, and timing where they generally active can be gathered. This supports marketing, retail and banking systems through the use of knowledge of behavior of mobile users. However, challenges such as privacy and security are still a main issue before mobile user data mining can be implemented.