Comparative research has taught us much about the evolution and development of human and animal behavior. Humans share not just physical and biological similarities with other species, but also many behavioral traits and, in some of these cases, the psychological mechanisms behind them. Comparing behavior and cognition across multiple species can help scientists to pinpoint why and when in phylogenetic history a behavior may have evolved, how it evolved, and what the mechanisms behind it are (Tinbergen, 1963). While the comparative approach has proven quite effective in addressing these questions, comparing behavior across multiple species is not as easy and straightforward as it may initially seem. Rigorous methodology and careful interpretation of results is crucial to answering any of these questions definitively. The focus of the current article is on the comparative methodology and the important factors that need to be addressed in order for comparative research to be effective. We first discuss the benefits and importance of comparative research, followed by the challenges that need to be overcome in good comparative work. We then discuss experimental economics as one “model system” for comparative work that has proven particularly good at addressing such issues, and comment on other approaches. We conclude with future directions for comparative research with an eye on important methodological and theoretical considerations.