We live in an increasingly digitized world where our -- physical and digital -- interactions leave digital footprints. It is through the analysis of these digital footprints that we can learn and model some of the many facets that characterize people, including their tastes, personalities, social network interactions, and mobility and communication patterns. In my talk, I will present a summary of our research efforts on transforming these massive amounts of user behavioral data into meaningful insights, where machine learning and data mining techniques play a central role. The projects that I will describe cover a broad set of areas, including smart cities and urban computing, psychographics, socioeconomic status prediction and disease propagation. For each of the projects, I will highlight the main results and point at technical challenges still to be solved from a data analysis perspective.