The Cosmic Microwave Background (CMB) is an abundant source of cosmological information. However, this information is encoded in non-trivial ways in a signal that is difficult to observe. The resulting challenges in extracting this information from CMB data sets have created a new frontier. In this talk I will discuss the challenges of CMB data analysis. I review what cosmological information is contained in the CMB data and the problem of extracting it. CMB analyses can be divided into two types: ``canonical parameter extraction which seeks to obtain the best possible estimates of cosmological parameters within a pre-defined theory space and hypothesis testing which seeks to test the assumption on which the canonical tests rest. Both of these activities are fundamentally important. In addition to mining the CMB for cosmological information cosmologists would like to strengthen the analysis with data from other cosmologically interesting observations as well as physical constraints. This gives an opportunity 1) to test the results from these separate probes for concordance and 2) if concordance is established to sharpen the constraints on theory space by combining the information from these separate sources.
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