Based on ethnographic research in Mexico City, this chapter will examine how qualitative research methods grant the flexibility needed in order to conduct research on organised crime. The social and political context is indispensable to understanding the dynamics of organised crime within a country or region. In global terms, this context becomes useful when focusing upon similarities and differences of the phenomenon. Due to widespread corruption at political high levels and to the identity of actors who take part in organised crime dealings, this study has encountered extreme sensitive issues. I will discuss the serious implications attached to the study of organised crime in Mexico, not only for government authorities and journalists but also for anyone wishing to investigate the phenomenon thoroughly.