Give us an example of what your data looks like and what you want to extract from it.
That's a very vague question. An example of your data would help us to help you.
However to get you started... The following references are pretty useful:
http://www.regular-expressions.info/reference.html
http://www.regular-expressions.info/tutorial.html
You can also test and play with regular expressions using the following tool:
You can also look at the following documentation to get you started in Splunk... start to learn with the IFX (Interactive Field eXtractor), which will show you the regex it has used:
http://docs.splunk.com/Documentation/Splunk/5.0.3/Knowledge/Addfieldsatsearchtime
Hope this helps.