I use diagrams to illustrate the sources of potential selection bias in observational studies of comparative effectiveness. I adapt these diagrams for three hypothetical scenarios that clarify the strengths and weaknesses of two prominent methods used to account for potential selection bias: propensity scores and instrumental variables. After reviewing the fundamentals of how to apply each method, including new developments that make implementation easier, I refer to some recent studies that illustrate how choice of method can affect estimates. I conclude by emphasizing that many studies with apparently rich sources of data are nevertheless unlikely to produce unbiased estimates and that conceptual modeling can help identify these problems in advance.