The advent of big data has vast potential for discovery in natural phenomena ranging from climate science to medicine, but overwhelming complexity stymies insight. Existing theory is often not able to succinctly describe salient phenomena, and progress has largely relied on ad hoc definitions of dynamical regimes to guide and focus exploration. We present a formal definition in which the identification of dynamical regimes is formulated as an optimization problem, and we propose an intelligible objective function. Furthermore, we propose an unsupervised learning framework which eliminates the need for a priori knowledge and ad hoc definitions; instead, the user need only choose appropriate clustering and dimensionality reduction algorithms, and this choice can be guided using our proposed objective function. We illustrate its applicability with example problems drawn from ocean dynamics, tumor angiogenesis, and turbulent boundary layers. Our method is a step towards unbiased data exploration that allows serendipitous discovery within dynamical systems, with the potential to propel the physical sciences forward.