Context-aware computing aims at tailoring services to the user's circumstances and surroundings. Our study examines how data collected from mobile devices can be utilized to infer users' behavior and environment. We present the results and the lessons learned from a two-week user study of 40 students. The data collection was performed using Contexto, a framework for collecting data from a rich set of sensors installed on mobile devices, which was developed for this purpose. We studied various new and fine-grained user contexts which are relevant to students' daily activities, such as "in class and interested in the learned materials" and "on my way to campus". These contexts might later be utilized for various purposes such as recommending relevant items to the students' context. We compare various machine learning methods and report their effectiveness for the purposes of inferring the users' context from the collected data. In addition, we present our findings on how to evaluate context inference systems, on the importance of explicit and latent labeling for context inference and on the effect of new users on the results' accuracy.