There is little published guidance concerning how large a pilot study should be. General guidelines, for example using 10% of the sample required for a full study, may be inadequate for aims such as assessment of the adequacy of instrumentation or providing statistical estimates for a larger study. This article illustrates how confidence intervals constructed around a desired or anticipated value can help determine the sample size needed. Samples ranging in size from 10 to 40 per group are evaluated for their adequacy in providing estimates precise enough to meet a variety of possible aims. General sample size guidelines by type of aim are offered.