The aim of this chapter is twofold. Firstly, to review relevant online research and method literature and to present an overview of some of the methodological and ethical concerns which, for the purpose of this chapter, have been categorised in three themes: defining and interpreting empirical data on the Internet, creating a research field on the Internet and dilemmas and prospects when observing without being seen. Secondly, to contribute to the methodological and ethical discussions by using the author’s research about a Swedish virtual red-light district as an example. The chapter shows that the Internet is an artificial arena with both textual and visual environments, which is in a constant process of change following cultural trends and technological innovation. This means that we can always expect the emergence of new methodological and ethical challenges and it is very important to continuously develop and discuss research on the Internet from a methodological and an ethical point of view. The knowledge we have about the Internet becomes, in fact, easily outdated compared to other arenas. The chapter’s conclusions are that ethnographers online have only made limited use of the potentials that the Internet offers, that it is important to take account of which alternative techniques ethnographers online do not make use of and most importantly, why they are not using them.