Lung cancer is the leading cause of cancer death. It is associated with a high level of morbidity, particularly fatigue, pain, breathlessness, and coughing. These symptoms can have a substantial impact on psychosocial functioning. It is critical to have effective interventions demonstrated to improve quality of life particularly for those with advanced disease. However there is a paucity of high quality intervention research to guide practice in this area. This article discusses the challenges in conducting supportive care research in this group, including the patient's level of literacy in English, poor performance status, rapidly fluctuating health status, and familial or professional “gate-keeping.” Many of these challenges can be overcome by broadening eligibility criteria, permitting some flexibility in relation to recruitment and data collection procedures, working closely with the treatment team, involving the patient's family, minimizing practical difficulties associated with intervention delivery, and reducing study burden in other ways, such as limiting the amount of data collected from the patient and shortening follow-up time intervals. We explore these potential solutions drawing on the experience of conducting a randomized controlled trial of a support intervention for people with lung cancer and their family.