This review describes methods used in comparative effectiveness research (CER). The aim of CER is to improve decisions that affect medical care at the levels of both policy and the individual. The key elements of CER are (a) head-to-head comparisons of active treatments, (b) study populations typical of day-to-day clinical practice, and (c) a focus on evidence to inform care tailored to the characteristics of individual patients. These requirements will stress the principal methods of CER: observational research, randomized trials, and decision analysis. Observational studies are especially vulnerable because they use data that directly reflect the decisions made in usual practice. CER will challenge researchers and policy makers to think deeply about how to extract more actionable information from the vast enterprise of the daily practice of medicine. Fortunately, the methods are largely applicable to research in the public health system, which should therefore benefit from the intense interest in CER.