Wavelets are being used in a vast range of applications, from geoexploration to music analysis and synthesis.
There are several sites around the planet disseminating this remarkable mathematical tool, theory and applications. This knowledge field  undergoes a continuous evolution: new recipes come up every day... And the range of applications do not stop growing...

Learn more about wavelets in this on-line introduction: Wavelets e as Artes Multiresolucionárias

For one introduction to the wavelets and its applications, read this tutorial , written in portuguese (That's a PostScript file 283KB long, and could take sometime to load. Originally it was aimed to serve a local audience, with emphasis on text information, and thus some figures are absent. Your browser should have a plug-in to read PS files,e.g. a GSVIEW).
For a deeper jump into the use of wavelets in the musical scene, read the abstract of my MSc dissertation.
Relevant parts of this work will be put available on the Internet, using hypertext to easy the navigation across the chapters.

The image behind this text is a Daubechies wavelet.