I am looking for an operator $U$, that can do this to a function: $$Uf(x)=f(2x).$$
In particular I am happy if there is an $U$ for the general case: $Uf(x)=f(kx)$.
Does such an operator exist for all $f(x)$? What is the operator for known classes of $f(x)$?
I have so far 1 condition on $f(x)$: $$\int_{-\infty}^{\infty} f(x)^2\,dx\text{ converges.}$$
I dont really know where to look for such an operator, or what keyphrases here are.
Yes, such operator exists and it is linear. The answer above by Qiaochu Yuan seems to confuse function with operator. That said there is no such function $U:\mathbb{R}\to\mathbb{R}$, but there is a linear operator U as said Arturo Magidin. And on the set of analytic functions it has the following infinite (because the set of analytic functions is infinite-dementional) matrix:
$$U=\left( \begin{array}{cccccc} 1 & 0 & 0 & . & 0 & . \\ 0 & k^1 & 0 & . & 0 & . \\ 0 & 0 & k^2 & . & 0 & . \\ . & . & . & . & . & . \\ 0 & 0 & 0 & . & k^n & . \\ . & . & . & . & . & . \end{array} \right)$$
To obtain the resulting function you have to multiply this matrix by the argument function:
$f(k x)= Uf(x)= f(0)+\frac {f'(0)}{1!} k x+ \frac{f''(0)}{2!} k^2 x^2+\frac{f^{(3)}(0)}{3!} k^3 x^3+ \cdots+\frac{f^{(n)}(0)}{n!} k^n x^n +\cdots.$
The confusion with your question probably arose because you used the function composition sign $\circ$ where it should not be if you meant applying the operator.