Whether the Sun has significantly influenced the climate during the last century has been under extensive debates for almost two decades. Since the solar irradiance varies very little in a solar cycle, it is puzzling that some geophysical parameters show proportionally large variations which appear to be responding to the solar cycles. For example, variation in low-altitude clouds is shown correlated with solar cycle, and the onset of Forbush decrease is shown correlated with the reduction of the vorticity area index. A possible sun-climate connection is that galactic cosmic rays modulated by solar activities influence cloud formation. In this paper, we apply wavelet transform to satellite and surface data to examine this hypothesis. Data analyzed include the time series for solar irradiance, sunspots, UV index, temperature, cloud coverage, and neutron counter measurements. The interactions among the elements in the Earth system under the external and internal forcings give out very complex signals. The periodicity of the forcings or signals could range widely. Since wavelet transforms can analyze multi-scale phenomena that are both localized in frequency and time, it is very useful techniques for detecting, understanding and monitoring climate changes.