Microblog sentiment classification is an important research topic which has wide applications in both academia and industry. Because microblog messages are short, noisy and contain masses of acronyms and informal words, microblog sentiment classification is a very challenging task. Fortunately, collectively the contextual information about these idiosyncratic words provide knowledge about their sentiment orientations. In this paper, we propose to use the microblogs' contextual knowledge mined from a large amount of unlabeled data to help improve microblog sentiment classification. We define two kinds of contextual knowledge: word-word association and word-sentiment association. The contextual knowledge is formulated as regularization terms in supervised learning algorithms. An efficient optimization procedure is proposed to learn the model. Experimental results on benchmark datasets show that our method can consistently and significantly outperform the state-of-the-art methods.