In this thesis, we study adaptive preference learning, in which a machine learning system learns users' preferences from feedback while simultaneously using these learned preferences to help them find preferred items. We study three different types of user feedback in three application setting: cardinal feedback with application in information filtering systems, ordinal feedback with application in personalized content recommender systems, and attribute feedback with application in review aggregators. We connect these settings respectively to existing work on classical multi-armed bandits, dueling bandits, and incentivizing exploration. For each type of feedback and application setting, we provide an algorithm and a theoretical analysis bounding its regret. We demonstrate through numerical experiments that our algorithms outperform existing benchmarks.