Wavelet transform has become a common tool for processing non-stationary signals in many different fields. The present paper reports a review of some applications of wavelet in aeroacoustics with a special emphasis on the analysis of experimental data taken in compressible jets. The focus is on three classes of wavelet-based signal processing procedures: (i) conditional statistics; (ii) acoustic and hydrodynamic pressure separation; (iii) stochastic modeling. The three approaches are applied to an experimental database consisting of pressure time series measured in the near field of a turbulent jet. Future developments and possible generalization to other applications, e.g., airframe or propeller noise, are also discussed.