This paper briefly describes big data generated by physical activity trackers (or wearables) and its application in sport, with a focus on individual sports of running and cycling which are easily accessible to the lifestyle athlete. It describes the potential for paradigm shifts in training monitoring, rehabilitation, talent acquisition and even urban planning that data mining can provide. Furthermore, it highlights some risk concerns pertaining to big data in sport such as user privacy, data accuracy, interpretation of information and athlete autonomy. The paper concludes by contrasting the possible advances in sport and physical activity research with the ethical considerations that might slow down the progress.