The adoption of evidence-based hierarchies and research methods from other disciplines may not completely translate to complex palliative care settings. The heterogeneity of the palliative care population, complexity of clinical presentations, and fluctuating health states present significant research challenges. The aim of this narrative review was to explore the debate about the use of current evidence-based approaches for conducting research, such as randomized controlled trials and other study designs, in palliative care, and more specifically to (1) describe key myths about palliative care research; (2) highlight substantive challenges of conducting palliative care research, using case illustrations; and (3) propose specific strategies to address some of these challenges. Myths about research in palliative care revolve around evidence hierarchies, sample heterogeneity, random assignment, participant burden, and measurement issues. Challenges arise because of the complex physical, psychological, existential, and spiritual problems faced by patients, families, and service providers. These challenges can be organized according to six general domains: patient, system/organization, context/setting, study design, research team, and ethics. A number of approaches for dealing with challenges in conducting research fall into five separate domains: study design, sampling, conceptual, statistical, and measures and outcomes. Although randomized controlled trials have their place whenever possible, alternative designs may offer more feasible research protocols that can be successfully implemented in palliative care. Therefore, this article highlights "outside the box" approaches that would benefit both clinicians and researchers in the palliative care field. Ultimately, the selection of research designs is dependent on a clearly articulated research question, which drives the research process.