I've used them in robotics and for tracking satellites going overhead via radar. Apparently they're also used by economists for guessing the state of the economy, along with other filters in the standard robotics toolkit.
Also common in robotics applications is the Particle Filter, which uses a Monte Carlo approximation of the uncertainty in the state, rather than enforcing a (Gaussian) distribution, as in the traditional Kalman filter. This can be useful when the mechanics are highly nonlinear and/or your measurement uncertainties are, well, very non-Gaussian. Sebastian Thrun (a CMU robotics professor in the DARPA "Grand Challenge" days of self-driving cars) made an early Udacity course on Particle Filters.