The main attraction of Mallat's book is the wide range of the material it covers, but I feel that this feature is more than outweighed by its multitude of failings. Having used it as a textbook in an applied math course, I'm intimately acquainted with those failings.
At first glance, this is an impressive work: it covers everything from Fourier analysis (in L1,L2,distributions,discrete) and the sampling theorem, to frames and Riesz bases, to the continuous wavelet transform, to the discrete wavelet transform, to wavelets on intervals, to wavelets via lifting, and talks about using wavelets to characterize regularity and fractal signals-- and that's just what I've looked at so far--... so it's quite encyclopedic. Perhaps that is why the book is unpalatable; it has more the character of an information dump than the leisurely tour suggested by the title.
The order of the presentation is horribly confusing: the results on frames, wavelets, and Riesz bases are presented in a mishmash that makes it hard to keep in mind the logical order of their development. Lots of important details aren't mentioned, or are given short shrift, e.g. the properties of the discrete Fourier transform are not enumerated the way those of the continuous Fourier transform are, so you must verify that analogues hold. In particular, little to no attention is given to numerical implementation of the algorithms-- e.g. he shows spectrograms and periodograms without saying how they are generated-- and when some lip service is paid to these issues, he is sparse on the details, and confusing. This is particularly annoying because the gaps in your knowledge don't show until you start trying to program these algorithms.
All of these failings pale in comparison to the poor editing: this book *abounds* in typos, both subtle and obvious. You simply can't take anything it states at face value.
My suggestion: pick an area you're interested in (frames, dyadic wavelets, second generation wavelets, numerical implementations of wavelets, etc.) and find a more appropriate specialized book.