In this talk, we will briefly look at the history of wavelets, from signal processing algorithms originating in speech and image processing, and harmonic analysis constructions of orthonormal bases. We review the promises, the achievements, and some of the limitations of wavelet applications, with JPEG and JPEG2000 as examples. We then take two key insights from the wavelet and signal processing experience, namely the time-frequency-scale view of the world, and the sparsity property of wavelet expansions, and present two recent results. First, we show new bounds for the time-frequency spread of sequences, and construct maximally compact sequences. Interestingly they differ from sampled Gaussians. Next, we review work on sampling of finite rate of innovation signals, which are sparse continuous-time signals for which sampling theorems are possible. We conclude by arguing that the interface of signal processing and applied harmonic analysis has been both fruitful and fun, and try to identify lessons learned from this experience.