DNA methylation is an epigenetic modification of DNA molecule that plays a vital role in gene expression regulation. It is not only involved in many basic biological processes, but also considered an important factor for tumorigenesis and other human diseases. Study of DNA methylation has been an active field in cancer epigenomics research. With the advances of high-throughput technologies and the accumulation of enormous amount of data, method development for analyzing these data has gained tremendous interests in the fields of computational biology and bioinformatics. In this review, we systematically summarize the recent developments of computational methods and software tools in high-throughput methylation data analysis with focus on two aspects: differential methylation analysis and tumor purity estimation in cancer studies.