Machine learning is a tool that helps us to understand complex data and in this sense it can be used for good purpose or for harming.
One of the ethical issues regarding the machine learning applications has to do with privacy. By applying machine learning algorithms to personal data it is very easy to harm privacy of individuals even without taking notice.
A famous example is that of a large retailer in US which applied machine learning methods to try and guess or better identify expectant mothers for coupon mailings. The retailer hoped that if these future mothers received good discounts, they would become loyal customers, who would later purchase profitable items like diapers, baby formula, and toys.
It ended up that an angry man contacted the chain and demanded to know why his teenage daughter received coupons for maternity items. He was furious that the retailer seemed to be encouraging teenage pregnancy! But when the retail chain's manager called to offer an apology, it was the father that ultimately apologized because, after confronting his daughter, he discovered that she was indeed pregnant.
This seems to be a true story and many online newspapers wrote about it. So I think individuals privacy should be the first among those issues.