DNA methylation, especially in promoter regions, is a well-characterized epigenetic marker related to gene expression regulation in eukaryotes. However, the role of intragenic DNA methylation in the usage of corresponding exons still remains elusive. In this study, we described the DNA methylome across 10 human tissues. The human genome showed both conserved and varied methylation levels among these tissues. We found that the methylation densities in promoters and first exons were negatively correlated with the corresponding gene expression level. Nevertheless, the methylation densities within introns, internal exons and down 1 kb regions showed weak correlation with gene expression levels. Importantly, we observed a remarkably positive relationship between methylation density and exon expression level of intragenic exons. Notably, skip-in exons were much more methylated than skip-out exons. We also identified 260 exons that showed both differential methylation levels and differential expression levels in lung cancer. Genes harboring these differentially regulated exons were significantly enriched in the cancer hallmark-related biological process. Moreover, a 10-exon signature was identified as a promising prognostic predictor for lung cancer. Our study illuminates the DNA methylome, describes its relationship with gene expression across human tissues and provides new insights into intragenic DNA methylation and exon usage during the transcriptional/alternative splicing process and in cancer.