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Shannon entropy in time domain is a measure of signal or system uncertainty. When based on spectrum entropy, Shannon entropy can be taken as a measure of signal or system complexity.Therefore, wavelet analysis based on wavelet entropy measure can signify the complexity of non-steady signal or system in both time and frequency domain. In this paper, in order to meet the requirements of post-analysis on abundant wavelet transform result data and the need of information mergence, the basic definition of wavelet entropy measure is proposed, corresponding algorithms of several wavelet entropies, such as wavelet average entropy, wavelet time-frequency entropy, wavelet distance entropy,etc. are put forward, and the physical meanings of these entropies are analyzed as well. The application principle of wavelet entropy measure in ElectroEncephaloGraphy (EEG) signal analysis, mechanical fault diagnosis, fault detection and classification in power system are analyzed. Finally, take the transmission line fault detection in power system for example, simulations in two different systems, a 10kV automatic blocking and continuous power transmission line and a 500kV Extra High Voltage (EHV) transmission line, are carried out, and the two methods, wavelet entropy and wavelet modulus maxima, are compared, the results show feasibility and application prospect of the six wavelet entropies.