We study the utility of wavelets for detecting the redshift evolution of the dark energy equation of state w(z) from the combination of supernovae (SNe), CMB and BAO data. We show that local features in w, such as bumps, can be detected efficiently using wavelets. To demonstrate, we first generate a mock supernovae data sample for a SNAP-like survey with a bump feature in w(z) hidden in, then successfully discover it by performing a blind wavelet analysis. We also apply our method to analyze the recently released "Constitution" SNe data, combined with WMAP and BAO from SDSS, and find weak hints of dark energy dynamics. Namely, we find that models with w(z) < −1 for 0.2 < z < 0.5, and w(z) > −1 for 0.5 < z < 1, are mildly favored at 95% confidence level. This is in good agreement with several recent studies using other methods, such as redshift binning with principal component analysis (PCA) (e.g. Zhao and Zhang, arXiv: 0908.1568.