There has been a growing interest among researchers, practitioners, and policymakers to analyze the online activities of extremists and terrorists. As studies in this research area have increased, various data collection techniques have emerged to address key research questions, ranging from manual extraction to computational tools to collect online information. This article examines the strengths and limitations of commonly used data collection methods in online terrorism and extremism research. We draw from our research experiences and highlight ethical dilemmas with collection methods in practice. We then set forth suggestions for progressing research in this space.