The ongoing generation of prodigious amounts of genomic sequence data from myriad vertebrates is providing unparalleled opportunities for establishing definitive phylogenetic relationships among species. The size and complexities of such comparative sequence data sets not only allow smaller and more difficult branches to be resolved but also present unique challenges, including large computational requirements and the negative consequences of systematic biases. To explore these issues and to clarify the phylogenetic relationships among mammals, we have analyzed a large data set of over 60 megabase pairs (Mb) of high-quality genomic sequence, which we generated from 41 mammals and 3 other vertebrates. All sequences are orthologous to a 1.9-Mb region of the human genome that encompasses the cystic fibrosis transmembrane conductance regulator gene (CFTR). To understand the characteristics and challenges associated with phylogenetic analyses of such a large data set, we partitioned the sequence data in several ways and utilized maximum likelihood, maximum parsimony, and Neighbor-Joining algorithms, implemented in parallel on Linux clusters. These studies yielded well-supported phylogenetic trees, largely confirming other recent molecular phylogenetic analyses. Our results provide support for rooting the placental mammal tree between Atlantogenata (Xenarthra and Afrotheria) and Boreoeutheria (Euarchontoglires and Laurasiatheria), illustrate the difficulty in resolving some branches even with large amounts of data (e.g., in the case of Laurasiatheria), and demonstrate the valuable role that very large comparative sequence data sets can play in refining our understanding of the evolutionary relationships of vertebrates.