This paper presents a review of extant literature about virtual worlds market research. We discuss the need for greater recognition of differences to traditional online and e-commerce web services, including social media. Our review considers what makes virtual worlds different and of particular interest to market researchers, including an overview of Second Life. We examine the issues faced and analyse how these link to research processes. We conclude that there is a need for a deep understanding of how user-participants behave ‘in-world’. This article contributes by raising awareness and informing the market research community of pertinent issues.