Presenting a very high level view at these issues.
Privacy: One of the important issues raised by data mining is that of individual data privacy.This is clearly a policy issue and not a technical one. Data mining/analysis is empowering us to analyze business transactions/online transactions and infer important information about individuals browsing patterns/spending behaviour.
Data Integrity: Data analysis can only be as good as the data that is being analyzed. An important challenge is integrating the various different data sources, and ensuring data cleanliness. 90% of time goes in cleaning, managing this data, before the actual analysis kicks in.
Relational Data v.s MultiDimensional Data: Whether to have data in a relational format or multidimensional. Relational is good for the client-server type of applications, multi dimensional makes the analysis part easier.