A cnet story by Declan McCullagh discusses a 352 page report from the US National Research Council titled "Protecting Individual Privacy in the Struggle Against Terrorists".

He says that the report concludes that data mining does not work well to identify terrorists because of too many false positives.

He says it also surveys methods to limit false positives with data mining in general.

http://news.cnet.com/8301-13578_3-10059987-38.html?part=rss&subj=news&tag=2547-1_3-0-20
http://sites.nationalacademies.org/nrc/index.htm

Bruce Schneier in 2006 also blogged on this:
http://www.schneier.com/blog/archives/2006/03/data_mining_for.html