Data stream is a continuous, time varying, massive and infinitely ordered sequence of data elements. The streaming data are fast changing with time, it is impossible to acquire all the elements in a data stream. Therefore, each data element should be examined at most once in data streams. Memory usage for mining data stream should be limited due to the new data elements are continuously generated from the streams. It is essential to ensure that newly arrived stream should be immediately available whenever it is requested made this task much challenging and necessary for fraud detection in stream, taking out knowledge, for business improvement and other applications where data arrived in stream. This paper tries to highlight important issues and research challenges of data stream by means of a comprehensive review.