New decision-making paradigms addressing the requirements of flexibility, adaptability and intelligence are needed for future wireless networks. Moreover, mutual interactions should be captured when all the devices are autonomous and smart. Game theory is a powerful tool to study such interactions. However, since it is a branch of applied mathematic and mainly studied in economic, some featured challenges should be addressed when applied in wireless networks. This chapter bridges game theory and practical wireless applications, by focusing on the incomplete, dynamic and uncertain information constraints. Four kinds of distributed learning algorithms including stochastic learning automata, payoff-based log-linear learning, learning by trial and error, and no-regret learning are discussed. The learning procedures and basic theoretical results are presented, and their applications in wireless networks are reviewed. Contrastive analysis on environment dynamics, solution concepts, synchrony, convergence, and convergent results is discussed, and some future research directions are given.