$$\int \tan^3(x) \sec(x)\ \mathrm{d}x$$
using the identity $\tan^2(x)=\sec^2(x)-1$
$$\int(\sec^2(x)-1)\sec(x)\tan(x)\ \mathrm{d}x$$
This is where I am confused and to be truthful, I get frustrated with mathematics and truly understand it is not natural and is man made. Why are you allowed to use u-substitution, and it only applies to one value you are substituting?
$$u = \sec(x)$$
$$\mathrm{d}u = \sec(x)\tan(x) \mathrm{d}x$$
You are allowed u-substitution because it renders the original integral unchanged. Basically what you do in u-substitution is that you change the variable and make it into a more easier terms. If you have ever been into definite integrals, you would have thoroughly understood what changing variable means. You can compute the integral without substitution too as Harish in his unedited post pointed out (by writing $\sec(x)\tan(x)dx=d\sec(x))$ Why would you take the second $\sec (x)$ , u if it more complicates the integral?