Wavelets are known to be a very useful tool for many purposes in the data analysis proccess. In particular, in the cosmic microwave background (CMB) field they have been used to study the gaussianity of the CMB, the cross-correlation of CMB with large scale structure data, the component separation problem and for denoising. We will review the most interesting applications of spherical wavelets to the analysis of CMB data and summarize the main results obtained so far. In particular we will show recent applications to the analysis of the WMAP first year data.