Clinical trials in palliative care are challenging to design and conduct. Burden on patients should be minimized, while gatekeeping by professionals and next-of kin needs to be avoided. Clinical deterioration due to disease progression affects attrition unrelated to intervention, and different care settings complicate comparisons and reduce the generalizability of the results. The aim of this review is to provide advice for colleagues planning to perform clinical trials in palliative care based on our own experiences from performing the Palliative-D study and by a thorough literature review on this topic. The Palliative-D study was a double-blind trial with 244 randomized patients comparing the effect of vitamin D3 to placebo in patients with advanced or metastatic cancer in the palliative phase of their disease trajectory who were enrolled in specialized palliative home care teams. Endpoints were opioid and antibiotic use, fatigue, and QoL. Recruitment was successful, but attrition rates were higher than expected, and we did not reach targeted power. For the 150 patients who completed the study, the completeness of the data was exceptionally high. Rather than patient reported pain, we choose the difference in the mean change in opioid dose between groups after twelve weeks compared to baseline as the primary endpoint. In this paper we discuss challenges in palliative care research based on lessons learned from the “Palliative-D” trial regarding successful strategies as well as areas for improvement.