Video game playing has received increased academic interest over the last few decades, particularly with regard to the psychological understanding of addiction. Based on the many studies carried out by the authors, this paper summarises some of the methodological challenges which may arise when studying video game players, including obstacles associated with various aspects of the research population, the knowledge and attributes of the researcher, as well as external factors often out of the researcher's control. This paper is based on the experience of conducting empirical studies of varying methodologies, including group interview, experiment and survey methods. Practical advice is also suggested, to assist researchers in building effective relationships between the research discipline and the gaming industry and community, as well as conducting their research in the most ethical, flexible, and efficient manner possible.