Cross-national, macro-comparative research represents a growing area of focus in sociology. I have been involved in this type of research formally since 2008. This case study explores a recent study of young women's HIV and unemployment rates across less developed nations as a point of departure to consider some of the benefits and limitations of doing cross-national research. Some of the benefits include the ability to examine large-scale patterns and build data sets relatively easily with publicly available data. Some of the limitations include constraints in study design or scope due to insufficient data. I explore themes such as data availability and quality, cross-sectional versus longitudinal or panel study designs, and multicollinearity. Practical advice is offered in dealing with each of the shortcomings discussed