In this talk I will summarize a few recent developments in the design and analysis of sequence models. Starting with simple parametric models such as HMMs for sequences we look at nonparametric extensions in terms of their ability to model more fine-grained types of state and transition behavior. In particular we consider spectral embeddings, nonparametric Bayesian models such as the nested Chinese Restaurant Franchise and the Dirichlet-Hawkes Process. We conclude with a discussion of deep sequence models for user return time modeling, time-dependent collaborative filtering, and large-vocabulary user profiling.