Big data is ubiquitous and becomes bigger, and challenges traditional data mining and machine learning methods. Social media is a new source of data that is significantly different from conventional ones. Social media data is mostly user generated, and is big, linked, and heterogeneous. We present the good, the bad and the ugly associated with the multi-faceted social media data, exemplify the importance of data reduction and inferring invisible information with real-world examples, and illuminate new opportunities of developing novel algorithms and tools for data mining and machine learning. In our endeavor of taming the bad and the ugly with the help of the good, we deepen our understanding of ever growing and evolving data and generate innovative solutions with interdisciplinary, collaborative research.